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World Equity Premium based Risk Aversion Estimates

Pozzi, L.C.G.; de Vries, C.G.; Zenhorst, J. - 2010

CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries. We …

Persistent link: https://www.econbiz.de/10010325953

Asset pricing, habit memory, and the labor market

Jaccard, Ivan - 2010

This article studies the asset pricing and the business cycle implications of habit formation in a production economy with capital adjustment costs and endogenous labor supply. A specification of internal habit in the mix of consumption and leisure which minimizes the wealth effect on labor...

Persistent link: https://www.econbiz.de/10011605209

Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

Conrad, Christian; Mammen, Enno - 2008

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

Persistent link: https://www.econbiz.de/10011422182

Stock returns and expected business conditions: Half a century of direct evidence

Campbell, Sean D.; Diebold, Francis X. - 2005

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...

Persistent link: https://www.econbiz.de/10010298269

Asset-pricing models and economic risk premia: A decomposition

Balduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; … - 2005

The risk premia assigned to economic (nontraded) risk factors can be decomposed into three parts: (i) the risk premia on maximum-correlation portfolios mimicking the factors; (ii) (minus) the covariance between the nontraded components of the candidate pricing kernel of a given model and the...

Persistent link: https://www.econbiz.de/10010397680

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...

Persistent link: https://www.econbiz.de/10011605091

Implied market price of weather risk

Härdle, Wolfgang Karl; López Cabrera, Brenda - 2009

Weather influences our daily lives and choices and has an enormous impact on cooperate revenues and earnings. Weather derivatives differ from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...

Persistent link: https://www.econbiz.de/10010274151

Can the consumption-free nonexpected utility model solve the risk premium puzzle? An empirical study of the Japanese stock market

Kang, Myong-Il - 2010

This paper investigates whether the consumption-free two-beta intertemporal capital asset-pricing model developed by Campbell and Vuolteenaho (2004) is able to solve the risk premium puzzle in the Japanese stock market over the period 1984-2002. Using the cash flow and discount rate betas as...

Persistent link: https://www.econbiz.de/10010332445

What explains the stock market's reaction to the federal reserve policy?

Bernanke, Ben S.; Kuttner, Kenneth N. - 2003

This paper analyzes the impact of unanticipated changes in the federal funds rate target on equity prices, with the aim of both estimating the size of the typical reaction and understanding the reasons for the market's response. We find that over the June 1989-December 2002 sample period, a...

Persistent link: https://www.econbiz.de/10010283442

Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse

Stehle, Richard; Schulz, Anja; Schröder, Michael; … - 2003

Dieses Papier untersucht, inwieweit Multifaktormodelle nach Fama/French (1993) am deutschen Aktienmarkt die zeitliche … am US-amerikanischen, kanadischen und britischen Aktienmarkt ergibt sich aus den linearen Zeitreihen- Regressionen, dass … Querschnitt am deutschen Aktienmarkt wesentlich besser erklärt als am US-amerikanischen Aktienmarkt. …

Persistent link: https://www.econbiz.de/10010297296