Search Results - subject_exact:"Risk premium"

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592352

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

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637816

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

Loate, Tumisang; Viegi, Nicola - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636270

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://www.econbiz.de, 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 - 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

Deciphering delphic guidance : the bank of England and geopolitical uncertainty

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652482

Using futures prices and analysts' forecasts to estimate agricultural commodity risk premiums

Cortazar, Gonzalo; Ortega, Hector; Pérez, José Antonio - 2025

This paper presents a novel 5-factor model for agricultural commodity risk premiums, an approach not explored in previous research. The model is applied to the specific cases of corn, soybeans, and wheat. Calibration is achieved using a Kalman filter and maximum likelihood, with data from...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015331232

Sovereign risk premium and macroeconomy : causal relationship

Botey-Fullat, Maria; Marín-Palacios, Cristina; … - 2025

In recent years, because of the 2008 financial crisis and the evolution of the sovereign debt markets, there has been a significant increase in interest in understanding the factors that determine the risk premium, becoming a key indicator of the financial stability of countries, and a measure...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338584

Forward selection Fama-MacBeth regression with higher-order asset pricing factors

Borri, Nicola; Četverikov, Denis N.; Liu, Yukun; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015417540

Skewness premium for short-term exposure to squared market returns

Wallmeier, Martin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464878

How do climate-related risks and opportunities affect portfolio allocation and asset pricing?

Asal, Maher; Li, Xiaoni; Shi, Yin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015466624

Illiquidity, R&D investment, and stock returns

Ahmed, Shamim; Bu, Ziwen; Ye, Xiaoxia - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471213

Higher-order forward guidance

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

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015578338

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Higher-order forward guidance

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

Book / Working Paper

On the carbon premium in Swiss stock returns

Heim, Jonas; Nitschka, Thomas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015459691

Does the risk premium differ between women engaging in commercial and transactional sex? : evidence from urban Cameroon

Njuguna, Rebecca G.; Cust, Henry; Lépine, Aurélia - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015460331

Determinants of the risk premium in Brazilian nominal interest rates

Araújo, Gustavo Silva; Vicente, José Valentim Machado; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604398

The impact of hurricane strikes on Caribbean sovereign bond returns

Huesler, Joel - 2025

This article analyzes the influence of hurricane strikes on the returns of sovereign bonds issued by Cuba, the Dominican Republic and Haiti between 1905 and 1930. The study uses a fixed effects regression model to isolate the impact of hurricane-induced destruction on bond returns, providing a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015605357

Traditional versus improved varieties of seed : is there a trade-off between productivity and risk?

Bezabih, Mintewab; Tarp, Finn; Teklewold, Hailemariam; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015481449

Implementation of the WACC Notice and challenges in determining the VHCN risk premium

Stuck, Jana; Kulenkampff, Gabriele; Eltges, Fabian - 2025

In 2019, the European Commission published the WACC Notice that sets out a methodology for estimating the weighted average costs of capital (WACC) used by national regulatory authorities in the cost regulation of the telecommunication sector. The Notice is explicitly limited to legacy...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015558999

Linear factor models and the estimation of expected returns

Sarisoy, Cisil; Goeij, Peter de; Werker, Bas J. M. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015053943

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Linear factor models and the estimation of expected returns

Sarisoy, Cisil; Goeij, Peter de; Werker, Bas J. M. - 2022

Book / Working Paper

Energy transition in oil-dependent economies : public discount rates for investment project evaluation

Karanfil, Fatih; Pierru, Axel - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014563082

Funding illiquidity implied by S&P 500 derivatives

Golez, Benjamin; Jackwerth, Jens Carsten; Slavutskaya, Anna - 2024

Based on the typical positions of S&P 500 option market makers, we derive a funding illiquidity measure from quoted prices of S&P 500 derivatives. Our measure significantly affects the returns of leveraged managed portfolios; hedge funds with negative exposure to changes in funding illiquidity...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015070429

Asset pricing with neural networks : significance tests

Fallahgoul, Hasan; Franstianto, Vincentius; Lin, Xin - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015073811

Artificial intelligence investments reduce risks to critical mineral supply

Vespignani, Joaquin; Smyth, Russell - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015051566

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Artificial intelligence investments reduce risks to critical mineral supply

Vespignani, Joaquin; Smyth, Russell - 2024

Book / Working Paper

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

Loate, Tumisang; Viegi, Nicola - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015406209

Asset pricing and Machine Learning : a critical review

Bagnara, Matteo - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014474349

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Asset Pricing and Machine Learning: A critical review

Bagnara, Matteo - 2022

Article

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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618078

Repo and the liquidity risk premium

Copeland, Adam; Engbretson, Owen - 2026

Securities dealers play a central role intermediating funds in the U.S. short-term money markets. This intermediation involves risk, which can be mitigated by holding buffers of liquid securities. The cost of holding these buffers - the liquidity risk premium - is driven by the opportunity cost...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618112

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

Capriotti, Alessio; Muzzioli, Silvia - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654388

Bank inflation expectations, risk premia and lending behavior

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615255

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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015586922

Stress discounting

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

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626941

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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638968

Climate policy and brown risk premium on bank loans : direct vs. indirect emissions

Tolkki, Ville; Junttila, Juha; Sahlström, Petri - 2026

The paper studies how climate policy affects the brown risk premium in bank lending, distinguishing between Scope 1 (direct) and Scope 2 (energy-related) emissions using loanlevel data on new variable-rate corporate loans from 2019-2024 matched with constructed measures of Scope 1 and Scope 2...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644278

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://www.econbiz.de, 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://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647186

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

Mitchener, Kris; Pina, Gonçalo - 2026

Persistent link: https://www.econbiz.de, 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://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647428

External finance premium : market finance versus bank finance

Chiţu, Livia; Gori, Sofia; Gürkaynak, Refet S. - 2026

This paper is the first to simultaneously examine firms' market-based and bank-based external finance premia and investigate the behavior of corporate bond markets in the United States and the euro area, with a focus on country- and state-level heterogeneity in monetary unions. Using a unique...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650832

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://www.econbiz.de, 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://www.econbiz.de, 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