ZoomFromJan 15, 1998ToOct 31, 2024in %Implied Market-risk-premia (IMRP): AustraliaEquity marketImplied Market Return (ICOC)Implied Market Risk Premium (IMRP)Risk free rate (Rf)20002004200820122016202020240.0 %10.0 %2.5 %5.0 %7.5 %12.5 %15.0 %200020052010201520201m3m6mYTD1yAllFenebris.com, ...
Market Risk Premia of international stock markets as of 31 Oktober 2024 Austria Australia Belgium Brazil Canada Swiss China Germany Denmark Estland Spain Finnland France United Kingdom Greece Hongkong Indonesia India Italy Japan South Korea Mexico ...
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Satchell, 1999, "Modelling Emerging Market Risk Premia Using Higher Moments," International Journal of Finance and Economics, 4 (4), 271-296.Hwang, S. and Satchell, S. E. (1999). Modelling emerging market risk premia using higher moments, International Journal of Finance and Economics, 4,...
We propose a consumption-based model to explain puzzling unstable, i.e., sometimes positive and sometimes negative, relations between stock market variance with both market risk premia and prices. In the model, market ris...
"Determinants of Stock Market Volatility and Risk Premia." Annals of Finance 1, no. 2 (2005): 109-47.Kurz M., Jin H., Motolese M.: Determinants of stock market volatility and risk premia. Ann Finance 1 , 109–147 (2005)Kurz M., Jin H., Motolese M.: Determinants of Stock ...
Conditional Risk Premia in Currency Markets and Other Asset Classes Author(s): Lettau, Martin; Maggiori, Matteo; Weber, Michael | Abstract: The downside risk CAPM (DR-CAPM) can price the cross section of currencyreturns. Th... M Lettau,M Maggiori,M Weber - 《Journal of Financial Economics...
This paper analyzes issues related to the pricing of equity in an Eastern European emerging capital market, the Warsaw Stock Exchange (WSE), with the purpose of estimating the CAPM, and the return-risk relationship, using the domestic and the international asset-pricing model. The empirical eviden...
We analyse the futures from an ex post perspective and find evidence for significant positive risk premia at the short-end. Furthermore, we detect the existence of a term structure of risk premia and the existence of seasonality in the risk premia. When testing for factors influencing the risk...
Exchange risk premia in a currency basket system 1989, Weltwirtschaftliches Archiv☆ I wish to thank John Muellbauer for his help and guidance. The results reported in this note are part of a more general macroeconometric study focusing on the EMS versus the ‘rest of the world’.View...