The missing risk premium in exchange rates

Gold Prices , Exchange Rates , Gold Stocks and the Gold Premium

This paper studies the exposure of the stock prices of Australian gold-mining firms to changes in gold prices and the valuation effects of gold price exposure. Goldmining firms have significant gold price exposure; the price of the average goldmining stock moves 0.76% for each 1.00% change in Australian-dollar-denominated gold prices. Evidence from the behaviour of stock price sensitivities sug...

Presenting a Model for Portfolio Risk Premium Assessment: Evidence from the Tehran Stock Exchange

This study aimed to present a model for portfolio risk premium assessment of companies listed in Tehran Stock Exchange. In order to achieve this purpose, monthly data of 150 companies listed in Tehran Stock Exchange during 2007-2017 was used. In this study, the predictive powers of FamaFrench three-factor model [11], Carhart four-factor model [1], Fama - French five-factor model [24], Brousseau...

Market Risk Premium and Interest Rates

Is There a Risk Premium in Canadian Interest Rates?

Newspaper articles and economic commentaries have ascribed the decline in interest rates in Canada in late 1995 and in 1996, virtually as a matter of demonstrated fact, to a diminishing risk premium on financial investments in Canada. They have argued that lower interest rates are an economic dividend that Canadians have rightly earned in return for swallowing the tough medicine of monetary and...

Foreign Exchange Market and Equity Risk Premium Forecasting

Numerous academic studies examine equity risk premium predictability based on various macroeconomic variables and price and volume based variables from stock market. In this article, we extend the frontier of the set of predictors from macroeconomic variables and stock market variables to foreign exchange market variables due to various reasons. Firstly, foreign exchange market reflects various...