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Advanced Search Results For "RISK premiums"

1 - 10 of 8,329 results for
 "RISK premiums"
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Market Risk Premium for Unsecured Consumer Credit Risk.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Oct2022, Vol. 35 Issue 10, p4756-4801. 46p.

Abstract:We use the prices of credit card asset-backed securities to study the market risk premium associated with unsecured consumer credit risk. We find that the market incorporates a substantial credit risk premium into the prices of these securities. Furthe...

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Moment Risk Premia and Stock Return Predictability.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Feb2022, Vol. 57 Issue 1, p67-93. 27p.

Abstract:We study the predictive power of option-implied moment risk premia embedded in the conventional variance risk premium. We find that although the second-moment risk premium predicts market returns in short horizons with positive coefficients, the third-...

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The Predictive Power of the Dividend Risk Premium.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Dec2021, Vol. 56 Issue 8, p2843-2869. 27p.

Abstract:We show that the dividend growth rate implied by the options market is informative about i) the expected dividend growth rate and ii) the expected dividend risk premium. We model the expected dividend risk premium and explore its implications for the p...

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Return Expectations of Public Pension Funds.

Publication Type:Academic Journal

Source(s):Review of Financial Studies; Aug2022, Vol. 35 Issue 8, p3777-3822, 46p

Abstract:Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users m...

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Do Investment-Based Models Explain Equity Returns? Evidence from Euler Equations.

Publication Type:Academic Journal

Source(s):Review of Financial Studies; Aug2022, Vol. 35 Issue 8, p3823-3866, 44p

Abstract:Copyright of Review of Financial Studies is the property of Oxford University Press / USA and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users m...

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Have risk premia vanished?

Publication Type:Academic Journal

Source(s):Journal of Financial Economics. Aug2022:Part B, Vol. 145 Issue 2, p553-576. 24p.

Abstract:We apply a new methodology for identifying pervasive and discrete changes ("breaks") in cross-sectional risk premia. Size, value, and investment risk premia have fallen off to the point where they are insignificantly different from zero at the end of t...

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The Pricing of Volatility and Jump Risks in the Cross-Section of Index Option Returns.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis; Sep2022, Vol. 57 Issue 6, p2385-2411, 27p

Abstract:Copyright of Journal of Financial & Quantitative Analysis is the property of Cambridge University Press and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. Ho...

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Firm-Specific Risk-Neutral Distributions with Options and CDS.

Publication Type:Academic Journal

Source(s):Management Science. Sep2022, Vol. 68 Issue 9, p7018-7033. 16p.

Abstract:We propose a method to extract the risk-neutral distribution of firm-specific stock returns using both options and credit default swaps (CDS). Options and CDS provide information about the central part and the left tail of the distribution, respectivel...

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Reconciling negative return skewness with positive time-varying risk premia.

Publication Type:Academic Journal

Source(s):Econometric Reviews. 2022, Vol. 41 Issue 8, p877-894. 18p.

Abstract:One of the implications of the intertemporal capital asset pricing model (ICAPM) is a positive and linear relationship between the conditional mean and conditional variance of returns to the market portfolio. Empirically, however, it is often observed ...

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Fiscal tensions and risk premium.

Publication Type:Academic Journal

Source(s):Empirica. Aug2022, Vol. 49 Issue 3, p833-896. 64p.

Abstract:The main goal of the paper is to analyse one-dimensional, isolated impact of particular variables which are used in the literature as explanatory variables for risk premium following fiscal tensions. Using Student's t-tests, supplemented with ANOVA ana...

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