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 122 for “"risk premium"”.
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Essays on macroeconomics and risk premium
… policy can be an important determinant of risk premium and how variations in risk premium may affect macroeconomic policy. Unconventional monetary policy represents a main example of how the transmission of macroeconomic policy is mediated by movements in risk premium. In the first essay, I …
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Essays on Stock Market Liquidity and Liquidity Risk Premium
… economic freedom. The second essay, "Liquidity Risk Premium Puzzle and Possible Explanations", attempts to resolve the liquidity risk puzzle: a negative relation between returns and liquidity risk, documented by Chordia, Subrahmanyam, and Anshuman (2001b), by employing alternative liquidity …
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Essays on the risk premium in the U.S. financial market
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1992.
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Credit Default Risk and Market Risk Premium of Chinese Corporate Bonds
… presents a comprehensive analysis of credit risk in China's corporate bond market. Utilising data on all Chinese corporate bonds issued by publicly traded companies before September 2020 and actual default cases, the research investigates credit risk from the perspectives of forecasting …
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The determinants of the risk premium required by Italian private equity funds.
… aims to identify the determinants of the ex-ante risk premium required by Italian private equity funds (PEFs) when valuing privately-held target companies. In theory, perceived risk is a key driver of expected returns and anticipated value, but: ¿Although PE (private equity) has experienced rapid …
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Alternative Methods for Determining the Expected Market Risk Premium: Theory and Evidence
… section of the study derives market equilibrium risk premiums among the three types of assets. Two hypotheses are proposed from the two market equilibrium conditions specified in the model. Empirical tests of the two hypotheses demonstrate a statistically significant risk premium between the …
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The impact of macroeconomic variables on the equity market risk premium in South Africa
The relationship between the Equity Market Risk Premium (MRP) and macroeconomic variables has been a subject of extensive discussion in the finance literature. The MRP is a central component of the main asset pricing models which are used to estimate the cost of equity which is mainly used in …
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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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The impact of fair value disclosure on bond risk premium and debt capital structure
… between balance sheet variables and the bond risk premium, between firms having fair-value-oriented balance sheets and firms having historical-cost-based balance sheets. Results show that assets measured at fair value are more relevant for bond pricing, particularly those valued under level 2 …
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The stochastic behavior of spot freight rates and the risk premium in bulk shipping
… the dynamics of the spot freight rate and the risk premium in the freight market. This thesis is an attempt to improve our understanding of the stochastic dynamics of freight rates and the nature and sources of risk in the freight markets. Two new spot freight rate models are proposed and …
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An Analysis of the Behavior of the Risk Premium in the German Deutschemark Forward Market: A Comparison of Pre- and Post-German Reunification of 1990 Exchange Rates
… detectable through a change in the implied risk premium. Emphasis is placed on the forward deutschemark in the context of interest rate parity in order to detect a change in the implied risk premium. By using three month U.S. and German bank Certificate of Deposit rates as the basis for the …
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What About Short Run?
… the short-lived temporal variation of the equity risk premium. In the past decade, the equity risk premium puzzle is resolved by many competing consumption-based asset pricing models. However, before \cite{btz:vrp:rfs}, the return predictability as an outcome of such models has limited empirical …
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Essays on Volatility Risk and Security Returns
… returns and equilibrium determinants of variance risk and the variance risk premium. In the first essay, I analyze the relation between expected option returns and the volatility of the underlying securities. In the Black-Scholes-Merton and stochastic volatility models, the expected return from …
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Aspects of exchange rate determination : empirical evidence
The presence of a risk premium in foreign exchange markets for the floating exchange rate period has been examined by some researchers and the results obtained were not successful. In this thesis, we analyse a number of exchange rate models and assess their empirical performance. Using the data …
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Essays in Financial Economics
… chapters exploring the interrelationships among risk premia, the valuation of government debt, and macroeconomic dynamics. The first chapter documents and explores the implications of the risk price puzzle–the empirical disconnect between inflation and risk premium shocks. I show that existing …
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Three Essays On Agricultural Futures Traders
… and continue to provide price discovery and risk management. The results have important implications for the ongoing policy debate surrounding index investment; in particular, the results do not support limiting participation of index fund investors. The returns to traders are analyzed to …
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Currency risk and imperfect knowledge: Cointegrated VAR analyses with survey data
… forecast errors) as well as a time-varying risk premium. What this literature has not done however is to determine whether any of the existing models of the risk premium can account for the time-varying risk premium found in survey data. The second and third chapters use the Cointegrated VAR …
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Three Essays on Asset Pricing
… commodity markets, and specifically about the risk premiums in these markets and investor preferences. In the first essay, I use an option-based approach to characterize idiosyncratic jump risk for a large number of firms over a twenty-year period. I find that idiosyncratic jump risk carries a …
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Two Essays on Asset Pricing
… creating a downward bias in the estimated market risk premiums. The procedure of using portfolio returns and betas does not necessarily eliminate this bias. Depending upon the grouping variable used to form portfolios, the negative covariance between estimated betas and alphas can be increased, …
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