Investigating The Intertemporal Risk Return Relation In International Stock Markets With The Component Garch Model PDF Download
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| Author | : Hui Guo |
| Publisher | : |
| Total Pages | : |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download Investigating the Intertemporal Risk-return Relation in International Stock Markets with the Component Garch Model Book in PDF, ePub and Kindle
"We revisit the risk-return relation using the component GARCH model and international daily MSCI stock market data. In contrast with the previous evidence obtained from weekly and monthly data, daily data show that the relation is positive in almost all markets and often statistically significant. Likelihood ratio tests reject the standard GARCH model in favor of the component GARCH model, which strengthens the evidence for a positive risk-return tradeoff. Consistent with U.S. evidence, the long-run component of volatility is a more important determinant of the conditional equity premium than the short-run component for most international markets"--Federal Reserve Bank of St. Louis web site.
| Author | : Lubos Pastor |
| Publisher | : |
| Total Pages | : 56 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Download Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital Book in PDF, ePub and Kindle
We reexamine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using analyst forecasts. The usefulness of this proxy is shown in simulations. In empirical analysis, we construct the time series of the implied cost of capital for the G-7 countries. We find strong support for a positive intertemporal mean-variance relation at both the country level and the world market level. Some of our evidence is consistent with international integration of the G-7 financial markets.
| Author | : Hui Guo |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2003 |
| Genre | : Investments |
| ISBN | : |
Download Uncovering the Risk-return Relation in the Stock Market Book in PDF, ePub and Kindle
There is an ongoing debate in the literature about the apparent weak or negative relation between risk (conditional variance) and return (expected returns) in the aggregate stock market. We develop and estimate an empirical model based on the ICAPM to investigate this relation. Our primary innovation is to model and identify empirically the two components of expected returns--the risk component and the component due to the desire to hedge changes in investment opportunities. We also explicitly model the effect of shocks to expected returns on ex post returns and use implied volatility from traded options to increase estimation efficiency. As a result, the coefficient of relative risk aversion is estimated more precisely, and we find it to be positive and reasonable in magnitude. Although volatility risk is priced, as theory dictates, it contributes only a small amount to the time-variation in expected returns. Expected returns are driven primarily by the desire to hedge changes in investment opportunities. It is the omission of this hedge component that is responsible for the contradictory and counter-intuitive results in the existing literature
| Author | : Geert Dhaene |
| Publisher | : |
| Total Pages | : 26 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download The Risk-Return Tradeoff in International Stock Markets Book in PDF, ePub and Kindle
We study international asset pricing in a large-dimensional multivariate GARCH-in-mean framework. We examine different estimation methods and find that the two-step estimation method proposed by Bali and Engle (2010) tends to underestimate the risk-return coefficient and the corresponding standard error. We also show that the estimate is improved by one-step estimation and by increasing the cross-sectional dimension. Using stock index returns for up to 24 countries and 4 major currencies in the period 2001-2015, one-step estimation gives a market risk-return coefficient of around 6. The estimate is robust to variations in model specification, data frequency, and the number of stock markets considered.
| Author | : Cristiana Tudor |
| Publisher | : |
| Total Pages | : |
| Release | : 2008 |
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Download An Empirical Study on Risk-Return Tradeoff Using GARCH-Class Models Book in PDF, ePub and Kindle
This paper employs GARCH-family models to investigate volatility on the Romanian stock market. We use daily logarithmic returns of the BSE composite index BET-C, covering a four and a half years period (January 2004-July 2008). Various time series methods are employed, including the simple GARCH model, the GARCH-in-Mean model and the exponential GARCH and the results confirm that E-GARCH is the best fitting model for the Bucharest Stock Exchange composite index. In addition, the GARCH-in-Mean model shows that increased risk will not necessarily lead to a rise in future returns. Furthermore, all coefficients of the estimated GARCH models are statistically significant and the sum of the GARCH coefficients is always close to one, which implies persistence of the conditional variance. In addition, the estimates of the persistence in the long run component are significant, indicating that the long run component converges very slowly to the steady state.
| Author | : Bachar Fakhry & Christian R. Richter |
| Publisher | : KSP Books |
| Total Pages | : 135 |
| Release | : 2020-01-01 |
| Genre | : Business & Economics |
| ISBN | : 6057736923 |
Download Studies on the Sovereign Debt Market Book in PDF, ePub and Kindle
The Sovereign Debt Market is an essential section of the global financial market. In essence it is the main route for governments to cover any fiscal deficit in their budget. As of end of 2018, the market was US$188 trillion according to the IMF report on 17 December 2019. The market was long regarded as a safe haven for investors, especially the US treasuries and German Bunds. However in recent years the market has suffered several crises leaving investors questioning their high quality ratings. In this book we look at the efficiency and stability of the sovereign debt markets at the heart of the crises: US, German, Greek, Italian Portuguese and Spanish sovereign debt markets. We ask ourselves are these markets moving according to the Efficient Market Hypothesis or Behavioural Finance Theory?
| Author | : Hui Guo |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download On the Risk-Return Relation in International Stock Markets, Forthcoming Book in PDF, ePub and Kindle
We investigate the risk-return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indices. In contrast with CAPM, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk-return tradeoff in many countries after controlling for the (U.S.) consumption-wealth ratio. U.S. realized variance is also significantly related to future international stock market returns; more importantly, it always subsumes the information content of its local counterparts. Our results indicate that stock market variance is an important determinant of the equity premium.
| Author | : C. N. V. Krishnan |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download Analyzing the Time-Varying Stock Market Risk-Return Relation Book in PDF, ePub and Kindle
We analyze the stock market risk-return relation over the period from 1927 to 2005. We empirically implement the Intertemporal Capital Asset Pricing Model (ICAPM) using a cross-section of stock and bond portfolios, and allow for the market price of risk to be time-varying. We show that including bond portfolios in the estimation not only significantly changes the time-series estimates of the market price of risk, but also makes the correlation between conditional stock-market variance and the variance component of expected market return positive.
| Author | : Hui Guo |
| Publisher | : |
| Total Pages | : |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download The Risk-Return Relation in International Stock Markets Book in PDF, ePub and Kindle
We investigate the risk-return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indexes. In contrast with CAPM, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk-return tradeoff in many countries after controlling for the (U.S.) consumption-wealth ratio. U.S. realized variance is also significantly related to future international stock market returns; more importantly, it always subsumes the information content of its local counterparts. Our results indicate that stock market variance is an important determinant of the equity premium.
| Author | : Halbert White |
| Publisher | : Oxford University Press, USA |
| Total Pages | : 512 |
| Release | : 1999 |
| Genre | : Business & Economics |
| ISBN | : 9780198296836 |
Download Cointegration, Causality, and Forecasting Book in PDF, ePub and Kindle
A collection of essays in honour of Clive Granger. The chapters are by some of the world's leading econometricians, all of whom have collaborated with and/or studied with both) Clive Granger. Central themes of Granger's work are reflected in the book with attention to tests for unit roots and cointegration, tests of misspecification, forecasting models and forecast evaluation, non-linear and non-parametric econometric techniques, and overall, a careful blend of practical empirical work and strong theory. The book shows the scope of Granger's research and the range of the profession that has been influenced by his work.
