Search Results - subject:"risk premia"

Macroeconomic expectations and state-dependent factor returns

Haase, Felix; Neuenkirch, Matthias - 2023

We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … premia across different market regimes. First, we rely on a two-state logit mixture vector autoregressive model and use …

Persistent link: https://www.econbiz.de/10014476180

The role of pricing errors in linear asset pricing models with strong, semi-strong, and latent factors

Pesaran, M. Hashem; Smith, Ron - 2023

estimation of risk premia but also in tests of market efficiency, where λk and μk are respectively the risk premium and the mean …

Persistent link: https://www.econbiz.de/10013549135

Essays in empirical finance

Jankauskas, Tomas - 2023

Persistent link: https://www.econbiz.de/10014330066

Identification robust testing of risk premia in finite samples

Kleibergen, Frank; Kong, Lingwei; Zhan, Zhaoguo - In: Journal of financial econometrics 21 (2023) 2, pp. 263-297

Persistent link: https://www.econbiz.de/10014314742

The pricing of climate transition risk in Europe's equity market

Loyson, Philippe; Luijendijk, Rianne; Wijnbergen, Sweder van - 2023

We assess whether climate transition risk is priced in Europe's equity market by analysing relative equity returns of high versus low CO2-emitting firms. We use a panel data set covering firm-specific carbon emissions of 1,555 European companies over the period 2005-2019. We add to the existing...

Persistent link: https://www.econbiz.de/10014317319

The term structure of equity risk premia : levered noise and new estimates

Boguth, Oliver; Carlson, Murray; Fisher, Adlai; … - In: Review of finance : journal of the European Finance … 27 (2023) 4, pp. 1155-1182

Persistent link: https://www.econbiz.de/10014318125

Upside and downside correlated jump risk premia of currency options and expected returns

He, Jie-Cao; Chang, Hsing-Hua; Chen, Ting-Fu; Lin, Shih-kuei - In: Financial innovation : FIN 9 (2023) 1, pp. 1-58

rates and identify the correlated jump risk premia. The likelihood ratio test results show that the new model performs best …

Persistent link: https://www.econbiz.de/10014289112

Sovereign default network and currency risk premia

Yang, Lu; Yang, Lei; Cui, Xue - In: Financial innovation : FIN 9 (2023) 1, pp. 1-22

, closeness, and eigenvector centralities, to detect whether network properties drive the currency risk premia. We observe that …

Persistent link: https://www.econbiz.de/10014289115

Tradable factor risk premia and oracle tests of asset pricing models

Quaini, Alberto; Trojani, Fabio; Yuan, Ming - 2023 - This version: September 16, 2023

Persistent link: https://www.econbiz.de/10014480342

The origins and effects of macroeconomic uncertainty

Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896

endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and …

Persistent link: https://www.econbiz.de/10014362538