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Consumption based capital asset pricing and the Austrian Stock Exchange

Böheim, René; Boss, Michael - 1996

Persistent link: https://www.econbiz.de/10000939601

Variance Risk Premia and Capital Structure

Lotfaliei, Babak - 2018

This paper shows that the optimal leverage decreases with asset volatility risk in a trade-off framework. Thus, the paper relates the asset volatility risk premium to the underleverage puzzle. In models without volatility risk, the paper empirically documents that underleverage increases with...

Persistent link: https://www.econbiz.de/10012938616

Accounting noise and the pricing of cocos

Derksen, Mike; Spreij, Peter; Wijnbergen, Sweder van - 2018

Contingent Convertible bonds (CoCos) are debt instruments that convert into equity or are written down in times of distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can always observe all relevant firm information. But all...

Persistent link: https://www.econbiz.de/10011818282

Returns to Firm Globalization : Risk Premium or Mispricing?

DeLisle, Jared; Wang, Mengying; Yuksel, H. Zafer; … - 2021

This paper investigates mispricing (specifically limits to arbitrage) as an alternative to the risk-based explanation of the globalization premium documented by Barrot et al. (2019). We document that the globalization premium is positively correlated with measures of limits to arbitrage. We...

Persistent link: https://www.econbiz.de/10013322278

Equity Risk Premiums (ERP) : Determinants, Estimation and Implications - A Post-Crisis Update

Damodaran, Aswath - 2010

haphazard the estimation of equity risk premiums remains in practice. We begin this paper by looking at the economic …

Persistent link: https://www.econbiz.de/10013150556

The Time-Varying Impact of Systematic Risk Factors on Corporate Bond Spreads

Klein, Arne - 2019

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10012898459

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

Persistent link: https://www.econbiz.de/10011855295

Cyclicality in Aggregate Earnings and the Market Risk Premium

Yoshinaga, Yuto - 2018

This study aims to examine the mechanism that governs the significant positive relationship between aggregate earnings changes and contemporaneous changes in the market risk premium. Prior studies point to this relationship but do not provide a clear explanation for it. Therefore, we divide...

Persistent link: https://www.econbiz.de/10012933866

Adaptive Economic Beliefs : An Equity Premium Puzzle Solution

Vanoverberghe, Didier - 2011

The Equity risk-premium and volatility puzzles: Is it possible to have a high-equity premium and a low risk-free rate, and a high volatile stock return, have received a great deal of attention but beyond this, the fundamental issues are the following: What are the economic representations that...

Persistent link: https://www.econbiz.de/10013123331

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108