Estimation Of Time Varying Risk Premia On Stock Market Indices And Exchange Rates Pricing Macroeconomic Variables PDF Download
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Author | : |
Publisher | : |
Total Pages | : 256 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Estimation of Time-varying Risk Premia on Stock Market Indices and Exchange Rates Pricing Macroeconomic Variables Book in PDF, ePub and Kindle
Author | : John H. Cochrane |
Publisher | : Now Publishers Inc |
Total Pages | : 117 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 1933019158 |
Download Financial Markets and the Real Economy Book in PDF, ePub and Kindle
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author | : Massimiliano De Santis |
Publisher | : |
Total Pages | : 334 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download Time-varying Risk Premia, Sources of Macroeconomic Risk, and Aggregate Stock Market Behavior Book in PDF, ePub and Kindle
Author | : Mr.Manmohan S. Kumar |
Publisher | : International Monetary Fund |
Total Pages | : 32 |
Release | : 1990-12-01 |
Genre | : Business & Economics |
ISBN | : 145194196X |
Download Time Varying Risk Premia in Futures Markets Book in PDF, ePub and Kindle
This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.
Author | : John Y. Campbell |
Publisher | : OUP Oxford |
Total Pages | : 272 |
Release | : 2002-01-03 |
Genre | : Business & Economics |
ISBN | : 019160691X |
Download Strategic Asset Allocation Book in PDF, ePub and Kindle
Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author | : Michael Rockinger |
Publisher | : |
Total Pages | : 48 |
Release | : 2000 |
Genre | : Stock exchanges |
ISBN | : |
Download A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies Book in PDF, ePub and Kindle
Author | : Alberto Giovannini |
Publisher | : |
Total Pages | : 56 |
Release | : 1988 |
Genre | : Business enterprises |
ISBN | : |
Download The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets Book in PDF, ePub and Kindle
Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.
Author | : Martin Lettau |
Publisher | : |
Total Pages | : 76 |
Release | : 2001 |
Genre | : Business enterprises |
ISBN | : |
Download Time-varying Risk Premia and the Cost of Capital Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2001 |
Genre | : |
ISBN | : |
Download Macroeconomic News, Time-varying Risk Factors, and Time-varying Risk Premia, the Case of the US Stock and Bond Markets Book in PDF, ePub and Kindle
Author | : Tim Bollerslev |
Publisher | : |
Total Pages | : 60 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-implied and Realized Volatilities Book in PDF, ePub and Kindle
"This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte Carlo experiment suggests that the procedure works well in practice. Implementing the procedure with actual S&P 500 option-implied volatilities and high-frequency five-minute-based realized volatilities results in significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn relate to a set of underlying macro-finance state variables. We also find that the extracted volatility risk premium helps predict future stock market returns"--Abstract.