Search Results - subject:"Time‐varying risk"

Uncovered Interest Parity in a Partially Dollarized Developing Country: Does UIP Hold in Bolivia? (And If Not, Why Not?)

Melander, Ola - Economics Institute for Research (SIR), … - 2009

-called peso problem could possibly account for the observed data, but there is also evidence of a time-varying risk premium, as … dollarization, time-varying risk premium, peso problem, rational expectations. JEL codes: E43, F31, G15. The author gratefully … factors to explain the deviations from UIP (time-varying risk premia, the so-called peso problem and deviations from rational …

Persistent link: https://www.econbiz.de/10005014555

Momentum has its moments

Barroso, Pedro; Santa-Clara, Pedro - In: Journal of Financial Economics 116 (2015) 1, pp. 111-120

Compared with the market, value, or size factors, momentum has offered investors the highest Sharpe ratio. However, momentum has also had the worst crashes, making the strategy unappealing to investors who dislike negative skewness and kurtosis. We find that the risk of momentum is highly...

Persistent link: https://www.econbiz.de/10011263126

Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR

Stillwagon, Josh R. - In: Journal of International Financial Markets, … 35 (2015) C, pp. 85-101

Monthly interest rate forecasts from nearly 50 major financial institutions are used to examine the expectations hypothesis at the short end of the term structure for the Canadian T-bill market and Libor markets in the US, UK, and Switzerland. Using CVARs, the term premium is found to move...

Persistent link: https://www.econbiz.de/10011208441

Risk and regulation in water utilities: a cross-country comparison of evidence from the CAPM

Buckland, Roger; Williams, Julian; Beecher, Janice - In: Journal of Regulatory Economics 47 (2015) 2, pp. 117-145

<Para ID="Par1">This paper addresses a core issue for the regulated utility: what are the risks taken by investors in companies that supply a product whose supply is regulated? Prior research on returns of regulated water supply and distribution companies concluded that regulation interacts significantly with...</para>

Persistent link: https://www.econbiz.de/10011242006

Risk and regulation in water utilities : a cross-country comparison of evidence from the CAPM

Buckland, Roger; Williams, Julian; Beecher, Janice A. - In: Journal of regulatory economics 47 (2015) 2, pp. 117-145

Persistent link: https://www.econbiz.de/10011377542

Momentum has its moments

Barroso, Pedro; Santa-Clara, Pedro - In: Journal of financial economics 116 (2015) 1, pp. 111-120

Persistent link: https://www.econbiz.de/10011347950

Macroeconomic Sources of Foreign Exchange Risk

Kocenda, Evzen; Poghosyan, Tigran - 2008

We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. The joint distribution of excess returns in the foreign exchange market and the observable macroeconomic factors is modeled using the stochastic discount factor (SDF) approach and a...

Persistent link: https://www.econbiz.de/10009476568

Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis

Armah, Stephen E. - 2008

Previous attempts at identifying and estimating a time-varying risk premium in the cocoa futures market yielded … conflicting results. Using a longer series that includes the most recent cash and futures data, the existence of a time-varying … risk premium in the cocoa futures market is re-investigated using LM ARCH tests and a Quadratic ARCH in Mean Error …

Persistent link: https://www.econbiz.de/10009443197

An Empirical Analysis of the Mexican Term Structure of Interest Rates.

Espada, Josué Fernando Cortés; García, Alberto Torres; … - Banco de México - 2008

We study the dynamics of the term-structure of interest rates in Mexico. Specifically, we investigate time variation in bond risk premia and the common factors that have influenced the behavior of the yield curve. We find that term-premia in government bonds appear to be time-varying. We then...

Persistent link: https://www.econbiz.de/10004967945

Testing multifactor capital asset pricing model in case of Pakistani market

Javid, Attiya Yasmin; Ahmad, Eatzaz - Volkswirtschaftliche Fakultät, … - 2008

The analysis of this study explores a set of macroeconomic variables along with market return as the systematic sources of risks explaining variations in expected stock returns for 49 stocks traded at Karachi Stock Exchange for the period 1993-2004. Some of these economic variables are found to...

Persistent link: https://www.econbiz.de/10011259489