equity term structureregime switchingWe show that the term structure of dividend risk premia and discount rates implied by equity strip yields are downward sloping in recessions and upward slopingdoi:10.2139/ssrn.3689947Bansal, RaviYaron, Amir
摘要:The term structure of equity risk premium is moderately downward-sloping unconditionally, markedly downward-sloping in good times, and markedly upward-sloping in bad times. An asset-pricing model featuring time-varying correlation between realized and expected cashflow shocks explains these puzzling ...
Leverage and the limits of arbitrage pricing: Implications for dividend strips and the term structure of equity risk premia. Manuscript.Boguth, Oliver, Murray Carlson, Adlai Fisher, and Mikhail Simutin, "Leverage and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term ...
by Duffee (2002). This allows for various risk factors to affect the equity risk premium. Our model allows deriving at each point in time the whole ‘term structure of equity risk premia’. That is, for an arbitrary investment horizon, it provides the excess expected ...
We implement a state-space modeling to capture jointly the one-year and infinite horizons equity risk premia (ERPs) over a secular period in France. Expected stock returns are represented by mixing traditional expectation processes, expected variances are from GARCHX models and risk prices are stoch...
Risk-premiaCarry-tradeEconomic valueIn this paper, we derive the dynamics and assess the economic value of currency speculation by formalizing the concept ... Wagner,Christian - University Library of Munich, Germany 被引量: 7发表: 2012年 Term Structure of Consumption Risk Premia in the Cross Sec...
The term structure of equity and variance risk premia J. Econom. (2020) D. Amengual et al. Resolution of policy uncertainty and sudden declines in volatility J. Econom. (2018) T.G. Andersen et al. The risk premia embedded in index options J. Financ. Econ. (2015) G. Bakshi et al. ...
Levered Noise and the Limits of Arbitrage Pricing: Implications for the Term Structure of Equity Risk Premia Negligible pricing frictions in underlying asset markets can become greatly magnified when using no-arbitrage arguments to price derivative claims. Amplifi... O Boguth,MD Carlson,AJ Fisher,....
Using annual US secular data from 1871 to 2008, this study aims to model simultaneously the measures and the explanations of ex-ante equity risk premia for two polar horizons: the one period ahead horizon (i.e. the "short term" premium) and the infinite time horizon (i.e. the "long ...
V Coudert,M Gex - 《Review of International Economics》 被引量: 39发表: 2013年 The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model th...