We analyse the futures prices from an ex post perspective and show that there is evidence for significant positive risk premia at the short-end. Furthermore, we find that risk premia show a term structure. Evidence for the existence of seasonality in the risk premia is found as well. When ...
aas the team selected to represent China in St. Louis 作为队选择代表中国在St. 路易斯[translate] aAverage Market Risk Premia (by 正在翻译,请等待...[translate]
(2003). Estimating risk premia in money market rates. European Central Bank, Working paper series n. 221.Pilegaard, R., Durre, A., and Evjen, S. (2003). Estimating risk premia in money market rates. Working Paper Series 221, European Central Bank....
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...
Conditional risk premia in currency markets and other asset classes The downside risk capital asset pricing model (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low ... Martin,Lettau,Matteo,... - 《Journal of Financial Economics》 被引...
Inflation Risk Premium: Evidence from the TIPS Market In this paper we study the term structure of real interest rates, expected inflation and inflation risk premia using data on prices of Treasury Inflation P... OV Grishchenko,Jing-Zhi Huang - 《Social Science Electronic Publishing》 被引量:...
Risk premia in the stock market are assumed to move with time varying risk. We present a model in which the variance of time excess return of a portfolio depends on a state variable generated by a first-order Markov process. A model in which the realization of the state is known to econ...
来自 ideas.repec.org 喜欢 0 阅读量: 51 作者: JD Amato 摘要: Credit default swap (CDS) spreads compensate investors for expected loss, but they also contain risk premia because of investors' aversion to default risk. We e 被引量: 167 年份: 2005 ...
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 develop a methodology for improving the estimate of the risk premia calculated jointly with the asset sensitivities, extending the McElroy-Burmeister approach for estimating the Arbitrage Pricing Theory (Ross 1976) as a restricted nonlinear multivariate regression model using observed macroeconomic risk...