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Non Parametric Estimates Of The Foreign Exchange And Equity Risk Premia And Tests Of Market Efficiency
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Book Synopsis Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency by : Mike Wickens
Download or read book Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency written by Mike Wickens and published by . This book was released on 1989 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency by : Michael R. Wickens
Download or read book Non-parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency written by Michael R. Wickens and published by . This book was released on 1989 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Non-parametric Estimates of the Foreign Exchange Risk Premium and Tests of Exchange Market Efficiency by : Michael Wickens
Download or read book Non-parametric Estimates of the Foreign Exchange Risk Premium and Tests of Exchange Market Efficiency written by Michael Wickens and published by . This book was released on 1991 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Some Parametric and Nonparametric Characterizations of Exchange Risk Premia by : Kpate Adjaoute
Download or read book On Some Parametric and Nonparametric Characterizations of Exchange Risk Premia written by Kpate Adjaoute and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Acceptance or rejection of the risk premium hypothesis in the foreign exchange market often rests on some parametric statistical specification or asset pricing framework. Empirical evidence to date on this issue has been contingent upon the approach taken. After throwing light on the empirical regularities of the forward exchange bias, we take a more flexible nonparametric approach to characterizing the forward risk premium. Using a sample of ten exchange rates relative to the Swiss franc, we find evidence consistent with Fama's [1984] argument and Peel's [1993] results that risk premia exist and exhibit nonlinearity in condition mean, thus challenging traditional linear representations. Under the alternative hypothesis of nonlinear dynamics, the null of linearity was rejected for seven currencies at the usual confidence levels. Contrary to previous studies, the most parsimonious representation of nonlinear risk premia was evidenced through penalized least squares in the now popular smoothing spline framework. This finding, coupled with other empirical time series properties of exchange risk premia, sets the ground for proper specifications in tests of the unbiasedness hypothesis of the forward rate, as well as in models of international asset pricing where exchange rate risk premia are invoked. However, questions pertaining to the fairness of the risk premium component are not in the scope of this paper and are left for future research.
Book Synopsis Risk-related Asymmetries in Foreign Exchange Markets by : Giampiero M. Gallo
Download or read book Risk-related Asymmetries in Foreign Exchange Markets written by Giampiero M. Gallo and published by . This book was released on 1995 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets by : Alberto Giovannini
Download or read book The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets written by Alberto Giovannini and published by . This book was released on 1988 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis The Equity Risk Premium by : William N. Goetzmann
Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Deterministic Chaos in the Foreign Exchange Market by : Paul De Grauwe
Download or read book Deterministic Chaos in the Foreign Exchange Market written by Paul De Grauwe and published by . This book was released on 1990 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Re-interpreting the Failure of Foreign Exchange Market Efficiency Tests by : Richard E. Baldwin
Download or read book Re-interpreting the Failure of Foreign Exchange Market Efficiency Tests written by Richard E. Baldwin and published by . This book was released on 1990 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Small transaction costs and uncertainty imply that optimal cross-currency interest rate speculation is marked by a first-order hysteresis band. Consequently uncovered interest parity does not hold and market efficiency tests based on it are misspecified. Indeed measured prediction errors are a combination of true prediction errors and a wedge that consists of the "option value" of being in foreign currency and either plus or minus the transaction cost. Due to the nature of this wedge, we should expect measured prediction errors to be serially correlated, correlated with the current forward rate and perhaps have a non-zero mean, if the interest differential itself is serially correlated. The existence of the wedge helps account both for the failure of market efficiency tests and the difficulties in finding an empirically successful model of the risk premium
Book Synopsis Equity Risk Premia and the Pricing of Foreign Exchange Risk by : Robert A. Korajczyk
Download or read book Equity Risk Premia and the Pricing of Foreign Exchange Risk written by Robert A. Korajczyk and published by . This book was released on 1990 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring the Euro Exchange Rate Risk Premium by : Lorenzo Cappiello
Download or read book Measuring the Euro Exchange Rate Risk Premium written by Lorenzo Cappiello and published by . This book was released on 2005 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives measures for the bilateral euro exchange rate risk premia vis-a-vis the US dollar and the UK pound sterling, as well as the US and the UK equity market risk premia using the perspective of a european investor. We carry out the estimations applying the conditional International Capital Asset Pricing Model (ICAPM). The ICAPM is estimated for both constant and time-varying prices of risk, using weekly data on the equity and foreign exchange returns for Europe, the UK and the US. In estimating the time-varying prices of risk, we propose a new set of instrumental variables that take both business cycle and market volatility considerations into account. Consequently, our risk premium estimates are more intuitive, picking up most of the individual events that moved the markets between 1986 and 2001.
Book Synopsis Empirical Asset Pricing by : Wayne Ferson
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Book Synopsis Journal of International Money and Finance by :
Download or read book Journal of International Money and Finance written by and published by . This book was released on 1993 with total page 692 pages. Available in PDF, EPUB and Kindle. Book excerpt: Earlier place of publication varies.
Book Synopsis Efficiency, Risk Premia, Error Correction Models and Conditional Heteroscedasticity in Foreign Exchange Markets by : Nita Thacker
Download or read book Efficiency, Risk Premia, Error Correction Models and Conditional Heteroscedasticity in Foreign Exchange Markets written by Nita Thacker and published by . This book was released on 1990 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Ex-ante Forecasting of Equity Risk Premia in France, Germany, Japan, the United Kingdom and the United States by : Carol J. Eichenser
Download or read book Ex-ante Forecasting of Equity Risk Premia in France, Germany, Japan, the United Kingdom and the United States written by Carol J. Eichenser and published by . This book was released on 1994 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Efficiency in the Peseta Forward Exchange Rate Market by : Juan Ayuso
Download or read book Efficiency in the Peseta Forward Exchange Rate Market written by Juan Ayuso and published by . This book was released on 1992 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
