Search Results - subject_exact:"Risikoprämie"

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The green bond premium: Evidence from a multiverse analysis

Bauckloh, Michael Tobias; Kirsch, Paula - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638058

Sovereign bond spreads and climate risk : an empirical analysis in the Euro Area

Capriotti, Alessio; Muzzioli, Silvia - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654388

Bank inflation expectations, risk premia and lending behavior

Akgündüz, Yusuf Emre; Bölükbaş, Kübra; Çolak, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015568344

Monetary policy and private equity acquisitions : tracing the links

Avalos, Fernando; Hofmann, Boris; Serena, José María - 2026 - This version: 19 January 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613610

Disasters, ambiguity, and crash betas

Meyerheim, Gerrit - 2026 - Original Version: October 2025, This Version: March 2026

This paper develops a tractable consumption-based asset-pricing model in an i.i.d. economy that combines rare consumption disasters with ambiguity aversion implemented as a one-period entropic tilt under CRRA utility. Closed-form expressions for the risk-free rate, equity return moments, and the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614347

Carbon risk without a stable premium : nonlinear and state-dependent evidence from European ESG leaders

Salzmann, Eleonora - 2026

Despite the economic relevance of climate-transition risk, firm-level carbon exposure often fails to appear as a robustly priced factor when ESG measures and sustainability shocks are conflated. This study examines whether carbon exposure is conditionally priced in European equity returns using...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615255

Climate change, bank liquidity and systemic risk

Giuzio, Margherita; Kahraman, Bige; Knyphausen, Jasper - 2026

This paper examines the relevance of banks' exposure to climate transition risk in the interbank lending market. Using transaction-level data on repo agreements, we first establish that banks with higher exposure to transition risk face significantly higher borrowing costs. This premium is a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592352

The CDS basis in the European market

Heidorn, Thomas; Klaus, Juergen; Mazzalupi, Riccardo - 2026

The relationship between Credit Default Swaps (CDS) and cash bonds plays a pivotal role in providing market participants with important information which directly affects investment and risk management strategies. Particularly relevant is the CDS-Bond basis, defined as the difference in basis...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015595089

Climate resilience and the adaptation trap : a macroeconomic framework for joint fiscal-external sustainability

Afonso, António; Alves, José; Jalles, João Tovar; … - 2026

Climate change is reshaping sovereign risk and macroeconomic stability by amplifying fiscal and external fragilities. This paper develops a unified framework to assess how climate vulnerability and resilience jointly influence fiscal–external solvency. We construct a market-based...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015586922

Higher-order forward guidance

Dordal i Carreras, Marc; Lee, Seung Joo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015578338

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Higher-order forward guidance

Dordal i Carreras, Marc; Lee, Seung Joo - 2025

Book / Working Paper

Stress discounting

Cherbonnier, Frédéric; Gollier, Christian; Pommeret, Aude - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591724

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Stress discounting

Cherbonnier, Frédéric; Gollier, Christian; Pommeret, Aude - 2026

Book / Working Paper

Inflation targeting and the dynamics of inflation risk premia in South Africa's bond market

Allison, Chloë; Wet, Theuns de - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015624793

Safety switches : the macroeconomic consequences of time-varying asset safety

Foschi, Andrea - 2026

I develop a model-based definition of time-varying sovereign bond safety, and apply it empirically by constructing a news-based index, the FLY, that measures global safe-assets demand. The FLY captures flight-to-safety episodes, the savings glut, and natural interest rate declines. Estimated FLY...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626787

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Safety switches : the macroeconomic consequences of time-varying asset safety

Foschi, Andrea - 2026

Book / Working Paper

Central clearing and the pricing of specialness in repo markets

Danisewicz, Piotr; Dieler, Tobias; Mancini, Loriano; … - 2026

Repo markets clear either bilaterally over the counter (OTC) or through central counter-parties (CCPs), which differ in how counterparty risk is priced. In bilateral markets, repo rates reflect borrower-specific risk, while CCP clearing pools counterparties and applies a common pricing rule. We...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626941

Impact of capping emissions on macroeconomic volatility : the case of Saudi Arabia

Galeottib, Marzio; Manzanoc, Baltasar; Pierru, Axel - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015637816

Differential capital taxation and risk premia : a separation result

Menoncin, Francesco; Panteghini, Paolo - 2026

The article studies differential capital taxation - distinct rates on interest income and risky profits - in a continuous-time representative-agent general equilibrium model with complete markets. It derives closed-form expressions for the equilibrium risk-free rate and the market price of risk....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638859

Risk premiums, market volatility, and exchange rate dynamics : evidence from the Yen carry trade

Guyot, Opale; Montgomery, Heather; Yang, Peiqing - 2026

Persistent deviations from Uncovered Interest Rate Parity (UIRP) represent a central puzzle in international finance and a key source of currency risk for global investors. This study examines the UIRP puzzle in the JPY/USD market through the lens of financial risk transmission, focusing on how...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638924

Contagion and default risks in derivative pricing : a Hawkes-based model

Agana, Francis; Maré, Eben - 2026

Modern financial systems do not exist in isolation but form part of a complex global network of interconnected financial systems. This globalization of financial systems significantly increases the risk of contagion in financial markets, impacting asset prices and other important economic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638968

Can models with idiosyncratic risk solve the equity premium puzzle? : redux

Kozliakov, Gleb; Marin, Emile A.; Singh, Sanjay R. - 2026

Can idiosyncratic risk explain the equity premium? We revisit this question using a novel measure of imperfect risk sharing, implied by a large class of heterogeneous-agent models, constructed using household-level panel data. We identify a group of households - with relatively high income but...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644335

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Can models with idiosyncratic risk solve the equity premium puzzle? : redux

Kozliakov, Gleb; Marin, Emile A.; Singh, Sanjay R. - 2026

Book / Working Paper

Looking for risk : volatility bounds in macro

Jung, Jiyong; Marin, Emile A. - 2026

We characterize the gap between the equity risk premium (ERP) and its SVIX-implied lower bound as an equilibrium object, increasing in the correlation of valuations and returns, their relative volatility, and risk aversion. Higher risk premia need not be reflected in options-implied volatility....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644373

Currency differences in the determinants of corporate bond spreads : evidence from Peruvian issuers

Cisneros Rojas, Gerald Alex - 2026

This paper provides issuance-level evidence from an emerging economy with a dual-currency primary bond market, showing that currency denomination not only affects the level of corporate bond spreads but also fundamentally reshapes the transmission of macro-financial shocks across credit ratings....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647186

The state-contingent debt premium : evidence from French public bonds

Mitchener, Kris; Pina, Gonçalo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647367

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The state-contingent debt premium : evidence from French public bonds

Mitchener, Kris; Pina, Goncalo - 2026

Book / Working Paper

The state-contingent debt premium: evidence from french public bonds

Mitchener, Kris; Pina, Gonçalo - 2026

Book / Working Paper

The contagion effect of natural disasters in the Sovereign CDS market : which causes?

Di Tommaso, Caterina; Foglia, Matteo; Pacelli, Vincenzo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647428

Do technical indicators enhance the predictability of the equity market risk premium? : evidence from Korea

Lee, Hyunah; Chun, Sungju - 2026

Prior empirical studies suggest that technical indicators may contain information useful for predicting the equity market risk premium and may complement forecasting models based on macroeconomic variables. This paper examines the predictive power of technical indicators in conjunction with...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015652076

The risk premia from the European equity market : an application of the Three-Pass Estimation Methodology

Ossola, Elisa; Trifan, Irina - 2026

We develop an empirical application on a large dataset of European stock returns in order to estimate the risk premia. While traditional factor models often struggle with high levels of pricing errors and noisy proxies in fragmented markets, we show that the Three-Pass Estimation Method (3PEM)...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015652192

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The risk premia from the European equity market : an application of the three-pass estimation methodology

Ossola, Elisa; Trifan, Irina - 2025

Book / Working Paper

Term funding premium - time is money after all

Ramaswamy, Srini; Searls, Seth; De Vere, Hugo; Ozil, Ipek - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015653662

Bidding wind and solar : a theory of price premia in sequential electricity markets

Keutz, Julian - 2026

Price premia between day-ahead and intraday electricity markets are well documented and often attributed to factors such as forecast errors or market frictions. However, existing explanations provide limited insight into why these price premia can exhibit a systematic diurnal structure, as...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015632473

Can monetary and fiscal policy account for South Africa's stagnation?

Loate, Tumisang; Viegi, Nicola - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636270

The green bond premium : evidence from a multiverse analysis

Bauckloh, Michael Tobias; Kirsch, Paula - 2026

We study the green bond premium, defined as the yield differential between green and matched conventional bonds in the secondary market. Existing estimates vary widely, raising questions about their robustness. We address this by estimating the premium across more than 500,000 empirical designs...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636387

Equity risk premium in Lithuania's frontier market : integrating country risk and market drivers

Bonelli, Marco I. - 2026

This study quantifies Lithuania's Equity Risk Premium (ERP) by integrating Damodaran's country-risk premium (CRP) framework with a multiple regression on key market drivers. By using quarterly data from Q1 2015 to Q4 2024, the CRP model yields an implied cost of equity of 9.84%, corresponding to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636778

Demand disagreement

Heyerdahl-Larsen, Christian; Illeditsch, Philipp - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015573684

Global risk aversion and the term premium gap in emerging market economies

Flaccadoro, Marco; Villa, Stefania - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015561050

How much and how fast do investors respond to equity premium changes? : evidence from wealth taxation

Fagereng, Andreas; Guiso, Luigi; Ring, Marius A. K. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668633

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How Much and How Fast Do Investors Respond to Equity Premium Changes? : Evidence from Wealth Taxation

Fagereng, Andreas; Guiso, Luigi; Ring, Marius A. K. - 2026

Book / Working Paper

How much and how fast do investors respond to equity premium changes? : evidence from wealth taxation

Fagereng, Andreas; Guiso, Luigi; Ring, Marius A. K. - 2023

Book / Working Paper

How much and how fast do investors respond to equity premium changes? : evidence from wealth taxation

Fagereng, Andreas; Guiso, lg; Ring, Marius A. K. - 2023

Book / Working Paper

Bayesian sensitivity of insurance premium in collective risk model under bivariate prior with dependent frequency and severity of claims

Boratyńska, Agata - 2026

This study deals with the problem of robustness of the collective and Bayes premiums under uncertainty of prior knowledge. The inaccuracy of the prior knowledge concerns the disturbance of independence between variables describing the frequency and average value of claims. Traditionally, these...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667526

Deciphering delphic guidance : the bank of England and geopolitical uncertainty

Jagjit S, Chadha; Macchiarelli, Corrado; Goel, Satyam; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015652482

Financial and real effects of fiscal risk

Gorea, Denis; Ng, Ding Xuan; Zampolli, Fabrizio - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668418

The response of equity yields to a long-run shock

Boons, Martijn; Diercks, Anthony M.; Sinagl, Petra; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668549

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The Response of Equity Yields to a Long-Run Shock

Boons, Martijn; Sinagl, Petra; Tamoni, Andrea - 2023

Book / Working Paper

Macroeconomic shocks and the term premium in the US

Pallara, Kevin; Rossi, Luca; Venditti, Fabrizio - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668119

Monetary policy and private equity acquisitions : tracing the links

Ávalos, Fernando; Hofmann, Boris; Serena, Jose M. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015669741

Inflation risk and yield spread changes

Bonelli, Diego - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015669660

Pricing sustainability or pricing illiquidity? : evidence from ESG index futures

Ewald, Christian; Suna, Xiaotong; Haugomb, Erik; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015665643

Greenwashing and carbon risk premiums : issuer-level evidence from asian listed firms

Chan, Keith Jin Deng; Huang, Yizhou; Wan, Wilson Tsz Shing - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015656471

Putting firms in the spotlight : does the mismatch between words and actions or suspicions of greenwashing drive stock risk premiums?

Bai, Xiaoying; Wu, Zhongqi; Yu, Minggui - 2026

Prior studies define corporate greenwashing as inconsistent and exaggerated environmental disclosures compared with actual practices. This study explores how the stock market identifies and penalizes greenwashing risks, focusing on mismatches between companies' words and actions and suspicions...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672043

Macro strikes back: term structure of risk premia

Bryzgalov, Svetlana; Huang, Jiantao; Julliard, Christian - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015671520

Geopolitical risk and emerging market sovereign risk premia

Gamboa-Estrada, Fredy; Romero, José Vicente - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672867

Sovereign ratings and risk pricing, agency divergences in the European Union

Afonso, António; Alves, José; Gkonkas, Periklēs; … - 2026

Using annual EU-27 data for 1995-2024, we examine whether sovereign ratings mainly reflect common macro-fiscal fundamentals or whether agency-specific departures from that benchmark are also priced into sovereign funding conditions. Pooled ordered probits and a machine-learning diagnostic layer...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015675116

How much risk in U.S. government bond markets is transmitted to their Canadian counterparts?

Feunou, Bruno; Fontaine, Jean-Sébastien; Hill, Robert A. - 2026

We address this question by jointly modeling the distributional dynamics of the U.S. and Canadian term premia. Our approach combines a flexible marginal specification-the Skewed Generalized Error Distribution-with a flexible bivariate copula (BB7) to capture evolving cross-market dependence. We...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676683

Optimal currency strategies under deviations from interest parity

Viceira, Luis M.; Shen, Sally - 2026 - This version: July 1, 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015677405

Corporate governance and asset pricing : a portfolio-level study of the Tokyo Stock Exchange

Karaca, Ali; Rahman, Shaikh M. - 2026

This study examines whether corporate governance helps explain cross-sectional stock return variation on the Tokyo Stock Exchange. We construct 32 portfolios sorted by firm size, book-to-market equity, profitability, investment, and a governance indicator distinguishing institutional and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059138

When long-run trends are unknown : bond pricing implications

Ahonon, Borel; Roussellet, Guillaume - 2026

We propose a macro-finance model in which inflation, growth, and the policy rate are driven by unobservable long-run trends and transitory cycles that investors must infer from aggregate data. Their subjective estimates of these trends, and the uncertainty surrounding them, are priced into the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618078