The authors estimate the equity risk premium (ERP)—the expected return on stocks in excess of the risk-free rate—by combining information from twenty models for the period 1960-2013. They begin their analysis by categorizing the models into five classes: trailing historical mean, dividend...

El presente trabajo analiza si los Sistemas de Capitalización Individual en América Latina se han diversificado en conjunto, bajo la evidencia de pruebas de Raíces Unitarias de Panel de Datos, no obstante con las diferencias que existen entre los mismo países de estudio tales como...

Ever since Harry Markowitz published his seminal paper on portfolio selection, investors have incorporated estimates of future volatilities and correlations into their asset allocation process. While portfolio construction methods continue to evolve, many investors continue to forecast...

We employ a large dataset of physical inventory data on 21 different commodities for the period 1993-2011 to empirically analyze the behaviour of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between...

After seeing the effect of the global crisis on the financial and real sectors, the studieshave been more focused on building stress indices that show the accumulation of stresslevels in the countries` financial system due to the external and internal shocks. Thispaper aims at creating three...

We introduce a Credit Rating Agency (CRA) to a consumption-based model to explain the time-series variation of credit spreads on CDO tranches. Practising Bayesian persuasion, the CRA controls the type-II error of ratings to maximize the proportion of investment-grade rated firms while attempting...

Sound information communication is an important guarantee of financial development. In this study, the impact of information communication on financial development is analyzed using panel data on Chinese cities. The instrumental variable method is adopted to deal with endogeneity between...

We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached heightened levels — of around 12 percent — not seen since the 1970s. We conclude that the high ERP was caused by unusually low Treasury yields

We consolidate alternative ways for identifying stable and stressful scenarios in the S&P 500 market to construct contagion tests for recipient markets vulnerable to disturbances from this source market. The S&P 500 is decomposed into discrete conditions of: (1) Tranquil versus turbulent...

The main aim of this paper is to verify the dynamic interdependence and transmission of volatility from the American (SP500) to the Brazilian stock market (IBOVESPA and sectoral indexes). Estimates were performed by GARCH/BEKK methodology, considering the period from January 2007 to December...