نتایج جستجو برای: risk premium
تعداد نتایج: 948864 فیلتر نتایج به سال:
This study has the aim of empirically testing factors that affect equity risk premium in companies listed on IDX. uses sample data from 34 property and real estate Indonesia Stock Exchange with an observation period 6 years 2015-2020 taken using purposive sampling method. The variables used this are audit tenure, book to market ratio, firm size, leverage, earnings per share. analysis technique ...
Abstract We illustrate the role of left tail dependence—left mean (LTM)—in equity risk premium (ERP) predictability. LTM measures average pairwise dependency among major sectors incorporating shocks imperceptible at aggregate level. LTM, as well variance premium, significantly predicts ERP in and out sample, which is not case with commonly used predictors. find this predictability result procyc...
Juan Carlos Berganza, Roberto Chang and Alicia García Herrero October 15 2003 Abstract This paper investigates empirically whether there is a negative relationship between a country’s risk premium and its net worth, as implied by recent theories emphasizing financial imperfections, balance sheet effects, and liability dollarization. We find evidence that balance sheet effects, given by the incr...
The present paper investigates the portfolio allocation decisions of an investor with infinite horizon when available financial assets differ in their degrees of liquidity. A model with risk neutral agents allows us to endogenously determine the liquidity premium. With risk averse agents, we develop a nontrivial portfolio allocation problem, which enables us to calculate the demand for an illiq...
We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options.We propose to use the difference between the realized variance and this synthetic variance swap rate to quantify the varia...
This note provides two results pertaining to the pricing of agricultural revenue insurance contracts under joint price and yield risk. First, a weakening of the concordance ordering is used to sign the effect of greater dependence between the multiplicative risks (price and yield) on the expected indemnity payment. Second, sufficient conditions are found when the premium rate for revenue insura...
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