Risk premiums

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  • 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.

    pdf635p tieungot 24-01-2013 59 23   Download

  • 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.

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  • This paper is to investigate the fitness of the Fama and French three-factor model in the HCMC Stock Exchange (HOSE) over the period 2007-2009. The results have proven that this model is more superior to the capital asset pricing model (CAPM) when explaining changes in the total risk premium or the return on equity in HOSE.

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  • 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.

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  • 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....

    pdf48p enter1cai 16-01-2013 25 5   Download

  • 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).

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  • 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.

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  • 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 October 2008.

    pdf11p taisaocothedung 09-01-2013 30 1   Download

  • (BQ) Part 1 book "Fundamentals of corporate finance" has contents: Risk and return in capital markets, systematic risk and the equity risk premium, the cost of capital, the cost of capital debt financing, capital structure, payout policy, working capital management,...and other contents.

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  • Lecture Multinational financial management - Topic 15: Global capital budgeting and country risk. In this chapter, students will be able to understand value foreign investments using sovereign risk premiums, foreign proxies, cashflow adjustments and exchange rate forecasts.

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  • Chapter 6 - The structure of interest rates. After studying this chapter you will be able to: Describe and explain the relationship between interest rates and the term-to-maturity of a financial instrument, explain the meaning and the measurement of default risk premiums, describe how tax treatment affects yield differences across different types of securities,...

    ppt17p nomoney12 04-05-2017 11 1   Download

  • Lecture Risk management and insurance - Lecture No 8: Advanced topics in risk management. In this chapter, the learning objectives are: Probability distribution, application in risk management & insurance, insurance premium, using probabilistic approach.

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  • This chapter’s objectives are to: Income tax treatment of life insurance, life insurance contract provisions, incontestability clause, suicide clause, misstatement of age or sex, entire contract clause, cash or payment of premium,...

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  • 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. Phần bù...

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  • 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.

    pdf314p vandoan27 10-06-2011 158 53   Download

  • 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...

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  • 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.

    ppt47p green_12 13-05-2014 108 28   Download

  • 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.

    pdf246p namde03 19-03-2013 41 14   Download

  • 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....

    pdf0p conrepcon 12-04-2012 39 12   Download

  • 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 academic community.

    pdf0p greengrass304 15-09-2012 52 7   Download

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