US Risk Premia under Emerging Markets Constraints
نویسندگان
چکیده
منابع مشابه
Liquidity Risk Premia in Corporate Bond Markets∗
This paper explores the role of liquidity risk in the pricing of corporate bonds. We show that corporate bond returns have significant exposures to fluctuations in treasury bond liquidity and equity market liquidity. Further, this liquidity risk is a priced factor for the expected returns on corporate bonds, and the associated liquidity risk premia help to explain the credit spread puzzle. In t...
متن کاملVolatility and Risk Premia: Lessons from the Eurodollar Markets
We estimate affine models using the Eurodollar futures and options data. The rationale for this exercise comes from a combination of recent theoretical and empirical work, which documents a trade-off in models abilities to match the expectations hypothesis and generate conditional volatility, and suggests to break this tight connection by explicitly removing volatility from the term structure d...
متن کاملDeterminants of Hedging and Risk Premia in Commodity Futures Markets
This paper examines the determinants of commodity futures hedging and of risk premia arising from covariation of the futures price with stock market returns, and with the reve? nues of producers. Owing to supply shocks that stochastically redistribute real wealth (surplus) between producers and consumers, and to limited participation in the futures market, the total risk premium in the model is...
متن کاملConditional Risk Premia in Currency Markets and Other Asset Classes
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns. Correctly accounting for this variation is crucial for the empirical performance of the model. The DR-CA...
متن کاملRisk Arbitrage in Emerging Markets
Risk arbitrage is one of the investment strategies commonly employed by hedge funds and financial investment firms. In essence, it constitutes a bet on whether a merger deal is consummated. Several academic studies have found that risk arbitrage trading strategies are able to generate sustainable positive returns. However, these studies have been largely confined to risk arbitrage investments i...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3600947