Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency PDF Download
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Author: Mike Wickens
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 60
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Author: Mike Wickens
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 60
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Author: Bibliothèque centrale (Fonds Quetelet)
Publisher:
ISBN:
Category :
Languages : en
Pages : 716
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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: Juan Ayuso
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 56
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Author: Paul De Grauwe
Publisher:
ISBN:
Category : Chaotic behavior in systems
Languages : en
Pages : 64
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Author: Mr.Lorenzo Giorgianni
Publisher: International Monetary Fund
ISBN: 1451845790
Category : Business & Economics
Languages : en
Pages : 40
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Book Description
This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated to macroeconomic variables. For the Italian lira (1987-94), unconditional risk premiums—constructed using survey data to measure exchange rate expectations—are found to be sizable (relative to the dimension of the forward premium), highly volatile (relative to the variability of the forward bias), and predictable. Estimation of structural models of the risk premium suggests that anticipated fiscal contractions in Italy and lower uncertainty about the future path of fiscal policy are associated with a lower risk premium on lira-denominated assets.
Author: Frederick van der Ploeg
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 40
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Author: William N. Goetzmann
Publisher: Oxford University Press
ISBN: 0199881979
Category : Business & Economics
Languages : en
Pages : 576
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Book Description
What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
Author: Siv Gustafsson
Publisher:
ISBN:
Category : Cohort analysis
Languages : en
Pages : 36
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Author: Louka T. Katseli
Publisher:
ISBN:
Category : Commerce
Languages : en
Pages : 146
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