Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 53 for “"Risk Premia"”.
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An information-theoretic approach to estimating risk premia
… quantities: the factor loadings and the factor risk premia. Using relative entropy minimization, this paper estimates factor risk premia with only no-arbitrage economic assumptions and without needing to estimate the factor loadings. The method proposed here is particularly useful when the …
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Jünger Can't Borrow: Demographic Imbalances and Currency Risk Premia
… the global wealth distribution and currency risk premia. Relatively wealthy countries in the model have low currency risk premia because their bonds insure wealthy households against increases in the price of their own consumption basket. I discuss how the model can be extended to incorporate …
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Forecasting office capitalization rates and risk premia in emerging markets
… In this context, the issue of the country risk premium is crucial as these types of investments present a wide range of risk and return opportunities that need to be understood and, ideally, quantified. Naturally, the decision of whether or not to invest begins with an assessment of how …
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Essays on Nature-Related Risk Premia in Equity Markets [before doctoral defense]
… value is exposed to unmanaged biodiversity risk (Carvalho et al., 2023). These numbers establish biodiversity loss as both a systemic and a systematic financial risk: its effects propagate through supply chains, regulatory channels, and macroeconomic aggregates, and cannot be diversified …
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Modelling Term and Inflation Risk Premia in the South African Bond Market
… framework for modelling bond yields and term premia, with improved results over the aforementioned regressions. However, parameters of these models have historically been estimated using maximum likelihood methods which are computationally inefficient and have been shown to have problems in …
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An Econometric Analysis of the Dry Bulk Shipping Industry; Seasonality, Market Efficiency and Risk Premia
… hypothesis and the existence of time-varying risk premia in freight rate and ship price formation, the dynamic interrelationships between freight rate levels and spillover effects in freight rate volatilities, between sub-markets of the dry bulk sector. The seasonal behaviour of' dry bulk …
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Macroeconomic news, time-varying risk factors, and time-varying risk premia : the case of the US stock and bond markets
… is to investigate the sources of time-varying risk premia for both the U.S. stock and bond markets. In addition, we look at the sources of time-varying conditional variance and conditional covariance of these two markets. Although a large literature has emerged on the return and volatility of …
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Essays on the Temporal Structure of Risk
… on the properties of the temporal structure of risk, which answers whether more distant claims to macroeconomic growth are more or less risky than near-term claims. In the first chapter, I use replication and no-arbitrage to estimate within-firm variation in equity expected returns across …
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Three Essays in Financial Economics
… chapter, Intangible Investment, Displacement Risk, and the Value Discount, explores how the composition of assets in place and growth opportunities affect risk premia. Firms with growth opportunities in the form of intangible investments exposed to displacement risk have larger expected …
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Asset valuation in dry bulk shipping
… supporting the existence of time-varying risk premia in the valuation of dry bulk vessels. Accordingly, we integrate the examination of the second-hand market by incorporating in the analysis the trading activity related to dry bulk vessels. For this purpose, we develop a heterogeneous …
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Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia
… model for dynamic management of recession risk in equity portfolios based on an empirical measure of timevarying recession risk, I plan to estimate cross-sectional differences in recession risk exposure among equities and associated differences in risk premia. The analysis is expanded on an …
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Three essays on the UK Electricity Market: Risk Premium,Uncertainty of Supply and Forecasting
… is whether the electricity forward market offers risk premia to compensate for the uncertainty of renewable supply. The empirical results suggest that the UK electricity forward market provides risk premia, which is higher for electricity generated from renewable sources as a compensation for the …
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Forecasting Equity Volatility Dynamics with Markov-Switching EGARCH Models
… market volatility and kurtosis, equity risk premia, and stock-bond relations shift when the model forecasts a regime change.
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Essays in International Macroeconomics and Finance
… forecasting approaches can successfully predict risk premia (i.e. currency excess returns) over the short horizon. In doing so, I aim to overcome three main shortcomings of earlier research: i) Sensitivity to the chosen sample period; ii) seemingly arbitrary selection of explanatory variables …
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Antebellum Manufacturing Returns, Risks, and Patterns of Specialization
… manufacturing facilities, and the greatest risk premia of all the regions of the United States. Data suggest that this was not always the case. The eighteenth-century South had not lagged behind the North, if anything, it had been the industrialized region. The relative success of the South …
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Intermediation frictions in equity markets
… by financial institutions have returns and risk premia that comove very differently with shocks to the risk bearing capacity of financial intermediaries. After accounting for observable stock characteristics, excess returns on more intermediated stocks have higher betas on contemporaneous …
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International Capital Movements During the Napoleonic Wars and the Industrial Revolution in Britain
… are: (1) The Napoleonic wars increased the risk of investing in the continental assets, and when we took these risk premia associated with the war into account as the wartime risk premia, the actual rate of return in Britain was higher than in the continental states; (2) The British pound …
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Essays in Financial Economics
… tools to assess whether individual factor risk premia are identified from return data. We describe a necessary and sufficient condition for population identification, which we call the kernel-orthogonality condition. This condition can be thought of intuitively as the existence of a “true” …
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Hedge fund factorisation and benchmarking: Understanding hedge fund performance, benchmarking and the reward system for hedge fund managers
… plethora of asset classes thus providing better risk adjusted returns. This paper tests whether hedge funds in fact contain less exposure to individual asset classes than their long-only counterparts. In particular, the perception of uncorrelated returns has led to hedge funds being benchmarked …
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