The Size Premium and Intertemporal Risk

Size Premium, Distress Risk and Distress Anomaly

As documented in Fama and French (1992), small firms’ expected equity returns are usually larger than big firms.’ Notably, Fama and French (1995) attributed this return pattern, dubbed as size premium, to a notion that small firms are assigned a higher risk premium because they face greater risk of distress. However, “distress anomaly” papers including Campbell, Hilscher, and Szilagyi (2008) em...

The Size Premium: What Role Does Macroeconomic Risk Play?

Inflation Risk and the Inflation Risk Premium*

This article starts by discussing the concept of “inflation hedging” and provides some estimates of “inflation betas” for standard bond and well-diversified equity indices for over 45 countries. We show that such standard securities are poor inflation hedges. Expanding the menu of assets to foreign bonds, real estate and gold only improves matters marginally. This indicates a potentially import...

Which Will Overcome? The Productivity or Risk Premium

The study investigates consumers’ preference for cowpea reflected in the Nigerian markets through price discounts and premiums that consumers pay for different cowpea characteristics. The price data used for this study were obtained through a market survey. A common data collection protocol was employed. Every month, between October 2009 to December 2010, five cowpea samples per seller were bou...

the study of practical and theoretical foundation of credit risk and its coverage

پس از بررسی هر کدام از فاکتورهای نوع صنعت, نوع ضمانت نامه, نرخ بهره , نرخ تورم, ریسک اعتباری کشورها, کارمزد, ریکاوری, gdp, پوشش و وثیقه بر ریسک اعتباری صندوق ضمانت صادرات ایران مشخص گردید که همه فاکتورها به استثنای ریسک اعتباری کشورها و کارمزد بقیه فاکتورها رابطه معناداری با ریسک اعتباری دارند در ضمن نرخ بهره , نرخ تورم, ریکاوری, و نوع صنعت و ریسک کشورها اثر عکس روی ریسک اعتباری داردو پوشش, وثی...