This paper focuses on a topical and important area of theory and practice ie. The risk premium in financial markets. While there exists a vast amount of research into its behaviour, particularly in US markets, this is largely based on regression based techniques which do not capture well the dynamic and forward looking nature of the risk premium. In this paper the time variation of the unobserv...

This article provides an overview of compliance carbon markets that trade emission allowances and analyzes the properties as investable asset class. The authors discuss how local supply demand factors determine allowance prices, focusing on abatement costs policy adjustments. They then construct a novel total-return time series for four liquid develop equally-weighted Carbon Composite. found in...

Abstract Marketing capability refers to a firm’s ability optimally deploy and integrate different marketing inputs achieve high sales at low cost. This paper examines whether the value of is incorporated into stock returns. High-level predicts better future operating performance A capability-based long-short portfolio strategy earns an average annual return 5.16%, substantial portion which earn...

This paper considers the measurement of the equity risk premium in financial markets. While there exists a vast amount of research into its behaviour, particularly in US markets, this is largely based on regression based techniques which do not capture well the dynamic and forward looking nature of the risk premium. In this paper the time variation of the unobserved risk premium is modelled by ...

With 87 years of volatile stock return data, disaster-risk models operate in a narrow band between an ability to lower the equity premium from the historical geometric 5.9% per annum to a more model-appealing 4%, and an equity premium that can no longer be distinguished from zero (risk neutrality) at conventional statistical significance levels. Available below-the-money index option prices lim...

We propose a new approach to measuring long-run inflation risk, the inflation risk premium, and inflation expectations for the UK over the period 1985–2012. By adding long-term bond futures to the information set of inflation-indexed and nominal bonds, inflation risk is measured as an incremental time-varying covariance obtained from a trivariate GARCH model with dynamic conditional correlation...

This study analyses the impacts of the Goods and Services Tax (GST) introduced on 1 July 2000, and the associated wine tax reform, on both the premium and nonpremium segments of the grape and wine industry using a computable general equilibrium (CGE) model of the Australian economy. Through input cost reductions, the grape and wine industry is projected to gain from the GST tax package. Thus th...