Chapter 5 "History of interest rates and risk premiums" presents the following content: Factors influencing rates, level of interest rates, real vs. nominal rates, rates of return: single period, characteristics of probability distributions, mean scenario or subjective returns, variance or dispersion of returns,...
Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.This handbook is indispensable for any serious assessment of the state of the art on the famous equity premium puzzle.
Essentials of Investments: Chapter 7 - Capital Asset Pricing and Arbitrage Pricing Theory presents Capital Asset Pricing Model, Resulting Equilibrium Conditions, Capital Market Line, Slope and Market Risk Premium, Expected Return and Risk on Individual Securities.
One finds that there is a positive correlation between a country’s level of development
and insurance coverage. Developed countries tend to have better developed and well-
functioning insurance services sectors both domestically and in terms of insurance exports,
as compared to developing countries. This is perhaps most evident when one compares
the share of industrialized countries in the world insurance markets, which in 2004 stood
at 88.5 per cent as compared with 11.4 per cent for emerging markets, the majority of
which are developing countries.
In this paper, we distinguish the risk of credit spread changes, if no default occurs, and the
risk of the default event itself. We use credit spread data of many different firms and historical
default rates to estimate the size of the default jump risk premium, along with the risk prices of
credit spread changes. We show that, in order to fully explain the size of expected excess
corporate bond returns, an economically and statistically significant default jump risk premium
is necessary, on top of the risk premia that are due to the risk of credit spread changes....
This chapter discusses the various forms of return encountered in investment management. Among the return types discussed are required returns, which will be used later in the text for equity valuation. The required return is what the investor expects to earn on an investment, given the investment’s risk. To determine the required return, we will use several different models, such as the capital asset pricing model (CAPM).
Suggests that since investors are risk averse, they will demand a greater premium for securities with longer maturity periods as these are not easily convertible to cash on short notice. A liquidity premium is usually added to the equilibrium interest rate to determine the market rate of securities.
Reflecting credit institutions’ reluctance to lend to one
another, the risk premium between three-month Euribor
and the Overnight Index Swap (OIS) climbed signifi-
cantly from the first signs of money market disruptions
in summer 2007. It subsequently moved in line with
the intensity of the turbulences, before peaking in early
The capital asset pricing model, almost always referred to as the CAPM, is a centerpiece of modern financial economics. The model gives us a precise prediction of the relationship that we should observe between the risk of an asset and its expected return. Chapter 9 provides knowledge of the capital asset pricing model.
Trong thực tế, có nhà đầu tư đầu tư vào cổ phiếu có nhà đầu tư vào trái phiếu kho bạc cũng có nhà đầu tư đầu tư cả trái phiếu và cổ phiếu. Các chứng khoán thường mang lại nhiều lợi nhuận hơn là việc đầu tư an toàn vào các trái phiếu kho bạc. Theo lý thuyết Sự khác biệt này được gọi là phần bù rủi ro vốn: đó là phần thu nhập gia tăng mà bạn có thể mong đợi từ mối tương quan giữa lãi suất thị trường và lãi suất phi rủi ro.
Many of the same organizations who provided me with data for the first edition of Stocks for the Long Run willingly updated their data for this second edition. I include Lipper Analytical Services and the Vanguard Group for their mutual funds data, Morgan Stanley for their Capital Market indexes,
Smithers & Co. for their market value data and Bloomberg Financial for their graphic representations.
Programming languages used in the 1990s to program many personal computer and UNIX based applications. Call option: An asset which gives the owner the right but not the obligation to purchase some other asset for a set price on or up to a specified date. Capital asset pricing model (CAPM): A model in which the cost of capital for any security or portfolio of securities equals a risk-free rate plus a risk premium that is proportionate to the systematic risk of the security or portfolio. Capital loss carryover: The excess of capital losses over capital gains that may not...
Nội dung chính của chương 2 Độ E ngại rủi ro và chiến lược phân phối tài sản nằm trong bài giảng Đầu tư tài chính nhằm trình bày về khái niệm cơ bản về lý thuyết danh mục như phần bù rủi ro (Risk premiums), độ e ngại rủi ro (Risk aversion), và giá trị hữu dụng.
The United States has seen major advances in medical care over the past decades, but
access to care at an affordable cost is not universal. Many Americans lack health care insurance
of any kind, and many others with insurance are nonetheless exposed to financial risk because of
high premiums, deductibles, co-pays, limits on insurance payments, and uncovered services. One
might expect that the U.S. poverty measure would capture these financial effects and trends in
them over time.
The goal of this edition is the same as that of the first: to present the conceptual
framework used for the pricing and hedging of fixed income securities
in an intuitive and mathematically simple manner. But, in striving
to fulfil this goal, this edition substantially revises and expands the first.
Many concepts developed by expert practitioners and academics remain
mysterious or only partially understood by many. Examples include
convexity, risk-neutral pricing, risk premium, mean reversion, the futuresforward
effect, and the financing tail....
We wrote the first edition of this textbook more than ten years ago. The intervening years
have been a period of rapid and profound change in the investments industry. This is due in
part to an abundance of newly designed securities, in part to the creation of new trading
strategies that would have been impossible without concurrent advances in computer technology,
and in part to rapid advances in the theory of investments that have come out of the
The Importance of Market Efficiency
Understanding the If and How the EMH Principal can Affect Shareholder Wealth
• Understanding how securities are valued is important because these valuation principles provide guidelines to managers how they should manage businesses on behalf of the shareholders. • It is the legal requirement and managerial responsibility for managers to act in the owners’ best interest.
For a typical family that moves from group to
individual coverage with identical benefits,
annual premiums will rise by more than
$2,000.43 The biggest losers in the individual
market are those who are less healthy or coping
with a chronic illness. Two-thirds of respondents
in a recent survey said they found it difficult or
impossible to find affordable coverage in the
Under the base enrollment scenario, the ACA is predicted
to result in an additional 900,000 individuals
enrolling in Medi-Cal by 2014, increasing to 1.2 million
by 2019. is includes an estimated 500,000 individuals
predicted to be enrolled in county Low-Income
Health Programs who will be automatically enrolled
in Medi-Cal in 2014.12 Under the enhanced scenario,
with a more aggressive enrollment and outreach
strategy, additional Medi-Cal enrollment would reach
1.4 million by 2014 and 1.6 million by 2019.
The different views presented in the previous section suggest different aspects of how
the SGP could affect capital market expectations about future developments, and
hence prices for fixed government securities. If a strict interpretation of the SGP
reduces budgetary flexibility and short-term growth prospects, it might lead to lower
short or medium term interest rates. Conversely, if the central bank considers any
breach or lax implementation of the Pact as an indication of an unduly expansionary
fiscal policy leading to higher inflation, it could foreclose a monetary easing.