Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Inflation Risk And International Asset Returns
Download Inflation Risk And International Asset Returns full books in PDF, epub, and Kindle. Read online Inflation Risk And International Asset Returns ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Inflation Risk and International Asset Returns by : G. A. Moerman
Download or read book Inflation Risk and International Asset Returns written by G. A. Moerman and published by . This book was released on 2010 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that inflation risk is priced in international asset returns. We analyze inflation risk in a framework that encompasses the International Capital Asset Pricing Model (ICAPM) of Adler and Dumas (1983). In contrast to the extant empirical literature on the ICAPM, we relax the assumption that inflation rates are constant. We estimate and test a conditional version of the model for the G5 countries (France, Germany, Japan, the U.K., and the U.S.) over the period 1975-1998 and find evidence of statistically and economically significant prices of inflation risk (in addition to priced nominal exchange rate risk). Our results imply a rejection of the restrictions imposed by the ICAPM. In an extension of our analysis to 2003, we show that even after the termination of nominal exchange rate fluctuations in the euro area in 1999, differences in inflation rates across countries entail non-trivial real exchange rate risk premia.
Book Synopsis Tests of Alternative International Asset Pricing Models by : Maria Vassalou
Download or read book Tests of Alternative International Asset Pricing Models written by Maria Vassalou and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous studies have concluded that equity returns do not carry unconditional risk premia for exchange rate and inflation risks. We decompose changes in exchange rates into a component common across different exchange rates, and an idiosyncratic component. This approach allows the estimation of unconditional exchange rate premia on a large number of exchange rates. We also estimate both domestic and foreign inflation risk premia. Our analysis, carried out in the context of three alternative international asset pricing models and using stock returns from ten industrial countries, strongly rejects the hypotheses that equities carry a zero common or idiosyncratic exchange rate risk premium, or a zero domestic or foreign inflation risk premium. We find that an asset pricing model that accounts for the pricing of exchange rate and inflation risk, can explain cross country differences in asset returns reasonably well.
Book Synopsis The World Price of Inflation Risk by : G. A. Moerman
Download or read book The World Price of Inflation Risk written by G. A. Moerman and published by . This book was released on 2005 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that inflation risk is priced in international asset returns. We analyze the price of inflation risk in a framework that includes the International Capital Asset Pricing Model (ICAPM) as a special case. In contrast to the literature, we relax the assumption that inflation rates are constant. We estimate and test a conditional version of the model for the G5 countries (France, Germany, Japan, the U.K., and the U.S.) over the period 1975-2003. We find evidence of statistically significant prices of inflation risk (in addition to priced nominal exchange rate risk). We demonstrate that inflation risk premia are an economically important component of international asset returns. Our results can be interpreted as a rejection of the ICAPM. Moreover, we show that even after the termination of nominal exchange rate fluctuations in the euro area after 1999, differences in inflation rates across countries entail non-trivial real exchange rate risk premia.
Book Synopsis The Price of Inflation and Foreign Exchange Risk in International Equity Markets by : Cesare Robotti
Download or read book The Price of Inflation and Foreign Exchange Risk in International Equity Markets written by Cesare Robotti and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns by : Maria Vassalou
Download or read book Exchange Rate and Foreign Inflation Risk Premiums in Global Equity Returns written by Maria Vassalou and published by . This book was released on 2000 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Global Risk Premia on International Investments by :
Download or read book Global Risk Premia on International Investments written by and published by Springer-Verlag. This book was released on 2013-07-01 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Implementing unconditional as well as conditional beta pricing models, the author identifies global economic factors that affect the performance of international investments.
Book Synopsis Inflation Hedging for Long-Term Investors by : Mr.Shaun K. Roache
Download or read book Inflation Hedging for Long-Term Investors written by Mr.Shaun K. Roache and published by International Monetary Fund. This book was released on 2009-04-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-term investors face a common problem-how to maintain the purchasing power of their assets over time and achieve a level of real returns consistent with their investment objectives. While inflation-linked bonds and derivatives have been developed to hedge the effects of inflation, their limited supply and liquidity lead many investors to continue to rely on the indirect hedging properties of traditional asset classes. In this paper, we assess these properties over different time horizons, in the context of a diversified portfolio. Using a vector error correction model, we find that effective short-run hedges, such as commodities, may not work over longer horizons and that tactical asset allocation could enhance investment returns following inflation surprises.
Book Synopsis The Predictability of International Asset Returns by : Bruno H. Solnik
Download or read book The Predictability of International Asset Returns written by Bruno H. Solnik and published by . This book was released on 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Book Synopsis High-Risk, High-Return Investing by : Lawrence W. Tuller
Download or read book High-Risk, High-Return Investing written by Lawrence W. Tuller and published by John Wiley & Sons. This book was released on 1994-01-26 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Shows how to make unconventional, offbeat but always calculated speculative investments. Contains sound financial planning and prudent investment management guidance. Explores emerging, undervalued, third-world stock markets, debt/equity swaps and reverse LBOs. Securitized assets, troubled and start-up companies, foreclosed properties and junk bonds are also included.
Book Synopsis Inflation and Asset Returns by : Anna Cieslak
Download or read book Inflation and Asset Returns written by Anna Cieslak and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past half-century has seen major shifts in inflation expectations, how inflation comoves with the business cycle, and how stocks comove with Treasury bonds. Against this backdrop, we review the economic channels and empirical evidence on how inflation is priced in financial markets. Not all inflation episodes are created equal. Using in a New Keynesian model, we show how "good" inflation can be linked to demand shocks and "bad" inflation to supply shocks driving the economy. We then discuss asset pricing implications of "good" and "bad" inflation. We conclude by providing an outlook for inflation risk premia in the world of newly rising inflation.
Book Synopsis Risk, Inflation, and the Stock Market by : Robert S. Pindyck
Download or read book Risk, Inflation, and the Stock Market written by Robert S. Pindyck and published by . This book was released on 1983 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most explanations for the decline in share values over the past two decades have focused on the concurrent increase in inflation.This paper considers an alternative explanation: a substantial increase in the riskiness of capital investments. We show that the variance of firms' real gross marginal return on capital has increased significantly, increasing the relative riskiness of investors' returns on equity, and that this can explain a large part of the market decline. We also assess the effects of increase in the mean and variance of the inflation rate, and a decline in firms' expected return on capital.
Book Synopsis Inflation, Inflation Risk, and Stock Returns by : John Ammer
Download or read book Inflation, Inflation Risk, and Stock Returns written by John Ammer and published by . This book was released on 1994 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Jump-Diffusion International Asset Pricing with Nontraded Consumption Goods by : Jaeyoung Sung
Download or read book Jump-Diffusion International Asset Pricing with Nontraded Consumption Goods written by Jaeyoung Sung and published by . This book was released on 2008 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a jump-diffusion international asset pricing model with stochastic exchange rates and inflation rates when investors consume both traded and nontraded goods. We argue that in general, the Adler-Dumas inflation rate differential may not fully capture PPP deviation risks, unless all volatilities, drift rates and jumps rates of PPP deviations/excchange rates are constant. The structure of optimal portfolios for investors from different countries reveals that country-specific demand for risky assets can arise from two sources of risks: PPP-deviation risks and nontraded-good-specific inflation-rate-differential risks. Consequently, equilibrium asset returns can be expressed in a multi-beta linear asset pricing model with a number of benchmark portfolios including hedge portfolios for PPP deviation risks and nontraded-good-specific inflation rate risks. The optimal portfolio structure further reveals that even if jump risks were added to otherwise pure diffusion assets in a no-jump world, investors' existing optimal portfolios of risky assets wouldn't change. We also note that risk premia on PPP deviation risks can be positive, zero, or even negative, that in the presence of inflation risks, hedging against exchange rate risks in isolation can sometimes make the investor's real wealth riskier than no hedging at all, and that a global investor optimally increases his consumption in both traded and nontraded goods as the price of the traded good of his own country increases.
Book Synopsis Inflation, Inflation Risks and Asset Returns by : Jo Corkish
Download or read book Inflation, Inflation Risks and Asset Returns written by Jo Corkish and published by . This book was released on 1994 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Strategic Asset Allocation and International Capm by : Philipp Kowollik
Download or read book Strategic Asset Allocation and International Capm written by Philipp Kowollik and published by GRIN Verlag. This book was released on 2012-03 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2004 in the subject Business economics - Investment and Finance, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 28 entries in the bibliography, language: English, abstract: The decision as to which Assets should be included in a portfolio is first addressed in a Strategic Asset Allocation policy. The determination of the Strategic Asset Allocation is one of the most important factors that influences a portfolio's performance. The process of defining a policy within the Strategic Asset Allocation should be done by both the portfolio manager and the potential investor. Together with the International Capital Asset Pricing Model the Strategic Asset Allocation tries to find an optimal portfolio which maximizes return and, at the same time, tries to minimize the possible risk. Due to currency and inflation risk, hedging should be considered as crucial point during the Strategic Asset Allocation. 1 2 Strategic Asset Allocation under consideration of the International Capital Asset Pricing Model decides to which asset classes a portfolio should be divided. Factors which determine the decision are expected returns, variances and covariances as well as the degree of risk aversion. The analysis of mean-variance which was mostly developed by Harry Markowitz gave portfolio advice until the early eighties concerning the optimal asset allocation. The aims of this approach were to minimize risk while receiving the highest possible return. Over the years the method was critized several times because of a lack of decisive factors. Markowitz only assumed a one period model and permanent income, currency and inflation risk were also ignored.3 Strategic Asset Allocation is much more than investing short- term. Investors care about inflation and currency risk. Hedging is particularly needed.
Book Synopsis Consumption risk and international asset returns by : Robert E. Cumby
Download or read book Consumption risk and international asset returns written by Robert E. Cumby and published by . This book was released on 1987 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
