risk premiaBayesian VAR modelsThis paper studies the existence of risk premia in crude oil futures prices with simple regression and Bayesian VAR models. It also studies the importance of three main risk premia models in explaining and forecasting the risk premia in practice. Whilst the existence ...
There does not seem to be an agreement in the literature on whether risk premia exist and if they between the crude oil spot price and a measure of stock market performance will provide a However, unlike most authors, I do not find this biasedness to be statistically significant. doi...
How is moral hazard relevant to regulating banks? What are the economic risks of aggressive Fed open market purchases? What are the major two factors that determine the risk premia of an asset? What is price risk? What actions should Bank of America take to retain its top investment advi...
What are the major two factors that determine the risk premia of an asset? What is the difference between risk free and risk premium? What is the difference between stocks and bonds? Which is more risky to own and why? Define the term risk premium. What are the advantages and ...
Overall, research of infrastructure bonds in the context of institutional portfolio management is only at the beginning. OPEN QUESTIONS There are very important questions that will have to be researched more thoroughly. To list some: 1 Risk premia: What types of long-term return generators are ...
This policy shift reduced recession risk premia embedded in equities. The persistent strength in US economic activity even at the current level of policy rates is sending the same signal. Policy rates above five percent are not having that much of a cooling impact on growth, which points to ...
premium reflecting the rate of threat gives the correct rotation for a perpetual succession of crops, and, by simple adjustment, the correct land expectation value, but only if the threat occurs at a constant rate throughout the rotation and if destruction – if it happens at all – is ...
Another finding is that risk premia in PIIGS markets are basically higher as in core markets, which reflect the higher risk involved in investing in PIIGS markets. Originality/value - – The paper offers a unique perspective on equity tail risk in aggregate equity markets and helps both ...
Downside cash flow risk is priced consistently across different samples, periods, and return decomposition methods. It is the only component of beta with significant out-of-sample predictive ability. Downside cash flow premia mainly occur for small stocks, while large stocks are compensated for ...
Downside cash flow risk is priced consistently across different samples, periods, and return decomposition methods. It is the only component of beta with significant out-of-sample predictive ability. Downside cash flow premia mainly occur for small stocks, while large stocks are compensated for ...