Modelling Risk Premia in International Asset Markets PDF Download
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Author: Peter N. Smith
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Peter N. Smith
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author:
Publisher: Springer-Verlag
ISBN: 3663085287
Category : Business & Economics
Languages : de
Pages : 306
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Book Description
Implementing unconditional as well as conditional beta pricing models, the author identifies global economic factors that affect the performance of international investments.
Author: John H. Cochrane
Publisher: Now Publishers Inc
ISBN: 1933019158
Category : Business & Economics
Languages : en
Pages : 117
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Book Description
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author: Stephen J. Brown
Publisher:
ISBN:
Category :
Languages : en
Pages : 55
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Book Description
Recent evidence suggests that global equity markets are becoming more risky. We find that much of the apparent increase in international variance and covariance of returns can be attributed to systematic variations in global risk premia correlated across markets, rather than to any fundamental change in the risk attributes of these markets. This result has interest both for practitioners and for those interested in modeling global asset prices.
Author: Devraj Basu
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
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Book Description
This paper introduces an international asset pricing model with time-varying risk premia. It augments the two factor model which has the return on the world index and trade weighted exchange rates as factors, with skewness and kurtosis factors. This leads to a stochastic discount factor that is non-linear and has time-varying factor loadings that are functions of global variables. We test this model on market indices, size and momentum sorted portfolios that are formed from stocks listed in G8 countries, as well as country-neutral size, book-to-market and momentum portfolios. Overall, the model is capable of pricing almost all sets of base assets unconditionally using only global predictive variables. It also explains much of the cross sectional variation of the country, size and momentum portfolios, and also achieves much of the substantial size and momentum premiums. The role of time-varying risk premiums that are functions of global variables is crucial to the performance of the model, particularly in the case of the exchange rate factor.
Author: Magnus Dahlquist
Publisher:
ISBN:
Category : Business enterprises
Languages : en
Pages : 48
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Book Description
Author: René Garcia
Publisher:
ISBN: 9780662289609
Category : Foreign exchange rates
Languages : en
Pages : 42
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Author: Peter N. Smith
Publisher:
ISBN:
Category : Capital investments
Languages : en
Pages : 42
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Book Description
Author: Shaun K. Roache
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 32
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Book Description
Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not be compensated for currency risk. However, data covering 33 industry portfolios across seven major stock markets suggest that not only is exchange rate risk priced in many markets, but that it is time-varying and sensitive to currency-specific shocks. With stock market investors typically exhibiting "home bias," this suggests that investors are using equity asset proxies to hedge the exchange rate risks to consumption.
Author: James W. Kolari
Publisher: Springer Nature
ISBN: 3031167848
Category : Business & Economics
Languages : en
Pages : 247
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Book Description
This textbook is intended to fill a gap in undergraduate finance curriculums by providing an asset pricing text that is accessible for undergraduate finance students. It offers an overview of original works on foundational asset pricing studies that follows their historical publication chronologically throughout the text. Each chapter stays close to the original works of these major authors, including quotations, examples, graphical exhibits, and empirical results. Additionally, it includes statistical concepts and methods as applied to finance. These statistical materials are crucial to learning asset pricing, which often applies statistical tests to evaluate different asset pricing models. It offers practical examples, questions, and problems to help students check their learning and better understand the fundamentals of asset pricing., alongside including PowerPoint slides and an instructor’s manual for professors.
