Risk Premia

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Factor Investing

Author : Emmanuel Jurczenko
Publisher : Elsevier
ISBN 13 : 0081019645
Total Pages : 482 pages
Book Rating : 4.0/5 (81 download)

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Book Synopsis Factor Investing by : Emmanuel Jurczenko

Download or read book Factor Investing written by Emmanuel Jurczenko and published by Elsevier. This book was released on 2017-10-17 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing.The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners

Handbook of the Equity Risk Premium

Author : Rajnish Mehra
Publisher : Elsevier
ISBN 13 : 0080555853
Total Pages : 635 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Handbook of the Equity Risk Premium by : Rajnish Mehra

Download or read book Handbook of the Equity Risk Premium written by Rajnish Mehra and published by Elsevier. This book was released on 2011-08-11 with total page 635 pages. Available in PDF, EPUB and Kindle. Book excerpt: Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.

The Risk Premium Factor

Author : Stephen D. Hassett
Publisher : John Wiley & Sons
ISBN 13 : 1118118618
Total Pages : 210 pages
Book Rating : 4.1/5 (181 download)

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Book Synopsis The Risk Premium Factor by : Stephen D. Hassett

Download or read book The Risk Premium Factor written by Stephen D. Hassett and published by John Wiley & Sons. This book was released on 2011-08-31 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: A radical, definitive explanation of the link between loss aversion theory, the equity risk premium and stock price, and how to profit from it The Risk Premium Factor presents and proves a radical new theory that explains the stock market, offering a quantitative explanation for all the booms, busts, bubbles, and multiple expansions and contractions of the market we have experienced over the past half-century. Written by Stephen D. Hassett, a corporate development executive, author and specialist in value management, mergers and acquisitions, new venture strategy, development, and execution for high technology, SaaS, web, and mobile businesses, the book convincingly demonstrates that the equity risk premium is proportional to long-term Treasury yields, establishing a connection to loss aversion theory. Explains stock prices from 1960 through the present including the 2008/09 "market meltdown" Shows how the S&P 500 has consistently reverted to values predicted by the model Solves the equity premium puzzle by showing that it is consistent with findings on loss aversion Demonstrates that three factors drive valuation and stock price: earnings, long term growth, and interest rates Understanding the stock market is simple. By grasping the simplicity, business leaders, corporate decision makers, private equity, venture capital, professional, and individual investors will fully understand the system under which they operate, and find themselves empowered to make better decisions managing their businesses and investment portfolios.

Global Risk Premia on International Investments

Author :
Publisher : Springer-Verlag
ISBN 13 : 3663085287
Total Pages : 324 pages
Book Rating : 4.6/5 (63 download)

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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 324 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.

The Yield Curve and Financial Risk Premia

Author : Felix Geiger
Publisher : Springer Science & Business Media
ISBN 13 : 3642215750
Total Pages : 320 pages
Book Rating : 4.6/5 (422 download)

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Book Synopsis The Yield Curve and Financial Risk Premia by : Felix Geiger

Download or read book The Yield Curve and Financial Risk Premia written by Felix Geiger and published by Springer Science & Business Media. This book was released on 2011-08-17 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.

Risk and Return for Regulated Industries

Author : Bente Villadsen
Publisher : Academic Press
ISBN 13 : 0128125888
Total Pages : 362 pages
Book Rating : 4.1/5 (281 download)

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Book Synopsis Risk and Return for Regulated Industries by : Bente Villadsen

Download or read book Risk and Return for Regulated Industries written by Bente Villadsen and published by Academic Press. This book was released on 2017-04-27 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk and Return for Regulated Industries provides a much-needed, comprehensive review of how cost of capital risk arises and can be measured, how the special risks regulated industries face affect fair return, and the challenges that regulated industries are likely to face in the future. Rather than following the trend of broad industry introductions or textbook style reviews of utility finance, it covers the topics of most interest to regulators, regulated companies, regulatory lawyers, and rate-of-return analysts in all countries. Accordingly, the book also includes case studies about various countries and discussions of the lessons international regulatory procedures can offer. - Presents a unified treatment of the regulatory principles and practices used to assess the required return on capital - Addresses current practices before exploring the ways methods play out in practice, including irregularities, shortcomings, and concerns for the future - Focuses on developed economies instead of providing a comprehensive global reviews - Foreword by Stewart C. Myers

Have Risk Premia Vanished?

Author : Simon C. Smith
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (124 download)

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Book Synopsis Have Risk Premia Vanished? by : Simon C. Smith

Download or read book Have Risk Premia Vanished? written by Simon C. Smith and published by . This book was released on 2021 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply a new methodology for identifying pervasive and discrete changes ("breaks'') in cross-sectional risk premia and find empirical evidence that these are economically important for understanding returns on US stocks. Size and value risk premia have fallen off to the point where they are insignificantly different from zero at the end of the sample. The market risk premium has also declined systematically over time but remains significant and positive as does the momentum risk premium. We construct a new instability risk factor from cross-sectional differences in individual stocks' exposure to time-varying risk premia and show that this factor earns a premium comparable to that of commonly used risk factors. Using industry- and characteristics-sorted portfolios, we show that some breaks to the return premium process are broad-based, affecting all stocks regardless of industry- or firm characteristics, while others are limited to stocks with specific style characteristics. Moreover, we identify distinct lead-lag patterns in how breaks to the risk premium process impact stocks in different industries and with different style characteristics.

Interest Rate Risk in the Banking Book

Author : PAUL. NEWSON
Publisher :
ISBN 13 : 9781782723257
Total Pages : 255 pages
Book Rating : 4.7/5 (232 download)

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Book Synopsis Interest Rate Risk in the Banking Book by : PAUL. NEWSON

Download or read book Interest Rate Risk in the Banking Book written by PAUL. NEWSON and published by . This book was released on 2017 with total page 255 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Equity Risk Premium

Author : Bradford Cornell
Publisher : John Wiley & Sons
ISBN 13 : 9780471327356
Total Pages : 248 pages
Book Rating : 4.3/5 (273 download)

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Book Synopsis The Equity Risk Premium by : Bradford Cornell

Download or read book The Equity Risk Premium written by Bradford Cornell and published by John Wiley & Sons. This book was released on 1999-05-26 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: Das Thema Risikoprämie für Aktien (Equity Risk Premium) wird hier zum ersten Mal verständlich erklärt. Die Risikoprämie für Aktien stellt einen Renditeausgleich dar für das erhöhte Risiko, das ein Anleger bei der Investition in Aktien eingeht, im Vergleich zu einer Investition in risikofreie Staatsanleihen. Die Risikoprämie ist zwar von der Theorie her einfach, jedoch in der Praxis ein sehr komplexes Phänomen. Für Finanzentscheidungen ist es von größter Bedeutung, daß man das Prinzip der Risikoprämie versteht und es anwenden kann. Cornell erläutert das Thema Schritt für Schritt sehr anschaulich und ohne terminologischen Ballast. Zunächst wird die Risikoprämie im Zusammenhang mit der Geschichte des Aktienmarktes betrachtet. Der Haussemarkt der 90er dient dabei als Fallstudie. Cornell zeigt, welche Rückschlüsse man durch die Analyse der Risikoprämie im historischen Verlauf für den Aktienmarkt ziehen kann, z.B. ob Aktienkurse steigen oder fallen oder ob sich der Aktienmarkt verändert. Vorausschauende Schätzungen der Risikoprämie werden anhand verschiedener konkurrierender Modelle analysiert, wobei die Vorzüge der jeweiligen Methode mitbewertet werden. 'Equity Risk Premium' ist das erste Buch, das dieses wichtige Prinzip der Risiko-Nutzen-Analyse erschöpfend behandelt. Es vermittelt einen tiefen Einblick und deckt alle Grundlagen ab, damit Investoren fundierte Finanzentscheidungen treffen können. Ein absolutes Muß für institutionelle Anleger, Geldmanager und Finanzvorstände, die auf eine fundierte Marktanalyse zurückgreifen müssen. (06/99)

The Equity Risk Premium

Author : William N. Goetzmann
Publisher : Oxford University Press
ISBN 13 : 0195148142
Total Pages : 568 pages
Book Rating : 4.1/5 (951 download)

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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: This book aims to create a strong understanding of the empirical basis for the equity risk premium. Through the research and anaylsis of two scholars who are experts in this field, this volume presents the key issues that are paramount to investors, including whether or not to use historical data as a method of equity investing, and can the equity premium reflect changes in fundamental values and cash flows of the market.

Index Fund Management

Author : Fadi Zaher
Publisher : Springer Nature
ISBN 13 : 3030194000
Total Pages : 258 pages
Book Rating : 4.0/5 (31 download)

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Book Synopsis Index Fund Management by : Fadi Zaher

Download or read book Index Fund Management written by Fadi Zaher and published by Springer Nature. This book was released on 2019-08-28 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings simplicity to passive investing, smart beta, and factor investing, which is the fastest growing type of investment in the asset management industry. The subject has a strong academic foundation but often taught and presented in a quite complex and unorganized way. In recent years, index and factor investing solutions have been bestsellers. But factor investing success is not a foregone conclusion, and there are plenty of quirks and misprints in the literature. Do investors need a novel approach? The book provides answers to some of these questions in an open and objective fashion. Index fund management is increasingly taught in finance courses at universities. For market practitioners including trustees and investors, this book facilitates an increased understanding of how to invest in index and smart beta strategies, how to implement them, and what to be aware of with concrete and practical real-world examples.

Alternative Risk Premia

Author : Thierry Roncalli
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Alternative Risk Premia by : Thierry Roncalli

Download or read book Alternative Risk Premia written by Thierry Roncalli and published by . This book was released on 2017 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The concept of alternative risk premia is an extension of the factor investing approach. Factor investing consists in building long-only equity portfolios, which are directly exposed to common risk factors like size, value or momentum. Alternative risk premia designate non-traditional risk premia other than a long exposure to equities and bonds. They may involve equities, rates, credit, currencies or commodities and correspond to long/short portfolios. However, contrary to traditional risk premia, it is more difficult to define alternative risk premia and which risk premia really matter. In fact, the term "alternative risk premia encompasses" two different types of systematic risk factor: skewness risk premia and market anomalies. For example, the most frequent alternative risk premia are carry and momentum, which are respectively a skewness risk premium and a market anomaly. Because the returns of alternative risk premia exhibit heterogeneous patterns in terms of statistical properties, option profile and drawdown, asset allocation is more complex than with traditional risk premia. In this context, risk diversification cannot be reduced to volatility diversification and skewness risk becomes a key component of portfolio optimization. Understanding these different concepts and how they interconnect is essential for improving multi-asset allocation.

Sub-National Government’s Risk Premia

Author : Mr.Sergio Sola
Publisher : International Monetary Fund
ISBN 13 : 1513538640
Total Pages : 39 pages
Book Rating : 4.5/5 (135 download)

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Book Synopsis Sub-National Government’s Risk Premia by : Mr.Sergio Sola

Download or read book Sub-National Government’s Risk Premia written by Mr.Sergio Sola and published by International Monetary Fund. This book was released on 2015-05-29 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the determinants of sub-national governments risk premia using secondary market data for U.S., Canada, Australia and Germany. It finds that, as for central governments, fiscal fundamentals matter in the pricing of risk premia, and sub-national governments with higher public debt and larger deficits pay higher premia. However, this relationship is not uniform across countries. Market pricing mechanisms are less effective in presence of explicit or implicit guarantees from the central government. Specifically, we show that in pricing risk premia of sub-national governments, markets are less responsive to fiscal fundamental when sub-national governments depend on high transfers from the central government, i.e., when there is some form of implicit guarantee from the center. Using primary market data, the paper also looks at whether transfer dependency from the central government influences sub-national governments’ incentive to access markets. We show that high transfer dependency lowers the probability of sub-national governments to borrow on capital markets.

Credit Default Swap Spreads and Variance Risk Premia (VRP)

Author : Hao Wang
Publisher : DIANE Publishing
ISBN 13 : 1437980163
Total Pages : 43 pages
Book Rating : 4.4/5 (379 download)

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Book Synopsis Credit Default Swap Spreads and Variance Risk Premia (VRP) by : Hao Wang

Download or read book Credit Default Swap Spreads and Variance Risk Premia (VRP) written by Hao Wang and published by DIANE Publishing. This book was released on 2011-04 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Options and the Volatility Risk Premium

Author : Jared Woodard
Publisher : Pearson Education
ISBN 13 : 0132756129
Total Pages : 49 pages
Book Rating : 4.1/5 (327 download)

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Book Synopsis Options and the Volatility Risk Premium by : Jared Woodard

Download or read book Options and the Volatility Risk Premium written by Jared Woodard and published by Pearson Education. This book was released on 2011-02-17 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master the new edge in options trades: the hidden volatility risk premium that exists in options for every major asset class. One of the most exciting areas of recent financial research has been the study of how the volatility implied by option prices relates to the volatility exhibited by their underlying assets. Here, I’ll explain the concept of the volatility risk premium, present evidence for its presence in options on every major asset class, and show how to estimate, predict, and trade on it....

Brookings Papers on Economic Activity: Fall 2018

Author : Janice Eberly
Publisher : Brookings Institution Press
ISBN 13 : 0815737106
Total Pages : 597 pages
Book Rating : 4.8/5 (157 download)

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Book Synopsis Brookings Papers on Economic Activity: Fall 2018 by : Janice Eberly

Download or read book Brookings Papers on Economic Activity: Fall 2018 written by Janice Eberly and published by Brookings Institution Press. This book was released on 2019-08-27 with total page 597 pages. Available in PDF, EPUB and Kindle. Book excerpt: Brookings Papers on Economic Activity (BPEA) provides academic and business economists, government officials, and members of the financial and business communities with timely research on current economic issues. Contents: The European Central Bank’s Monetary Policy during Its First 20 Years, Philipp Hartmann and Frank Smets Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia, Emmanuel Farhi and François Gourio The Real Effects of Disrupted Credit: Evidence from the Global Financial Crisis, Ben S. Bernanke The Cyclical Sensitivity in Estimates of Potential Output, Olivier Coibion, Yuriy Gorodnichenko, and Mauricio Ulate Should the Federal Reserve Regularly Evaluate Its Monetary Policy Framework?, Jeff Fuhrer, Giovanni P. Olivei, Eric S. Rosengren, and Geoffrey M.B. Tootell Monetary Policy at the Effective Lower Bound: Less Potent? More International? More Sticky?, Kristin Forbes The Efficacy of Large-Scale Asset Purchases When the Short-Term Interest Rate Is at Its Effective Lower Bound, James D. Hamilton The Federal Reserve Is Not Very Constrained by the Lower Bound on Nominal Interest Rates, Eric T. Swanson Comments on Monetary Policy at the Effective Lower Bound, Janet Yellen

Portfolio of Risk Premia

Author : Jennifer Bender
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Portfolio of Risk Premia by : Jennifer Bender

Download or read book Portfolio of Risk Premia written by Jennifer Bender and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: The traditional asset allocation to equities and bonds is characterized by high volatility and lacks sufficient diversification, particularly during periods of distress. The meltdown of 2001-2002, in which markets around the world tumbled together, amply demonstrated this fact. As a consequence, there has been a gradual shift in strategic allocations towards alternative asset classes, such as private equity, hedge funds and commodities. Unfortunately, these new allocations only partially provide the needed diversification. Several researchers, including Asness, Krail, and Liew [2001] and Anson [2007], have shown that even alternative asset classes are exposed to traditional equities and bonds.In an ideal world, a portfolio would be composed of a wide range of return-producing units, each of which is risky but independent of the others. Such a portfolio would result in high returns with low volatility. These return-producing units would also have capacity large enough for allocations by large funds. So, where do we find such independent, return-producing units?One simple answer is that many of these return-producing elements or risk premia already exist in traditional asset class portfolios. However, they are accompanied and dominated by broad equity or bond returns. We only need to separate them.The objective of this paper is to explore risk premia as basic units in investment management. First, we define and classify risk premia. We then identify a number of premia across different asset classes and discuss how an investor may capture them. Next, we study their risk and return characteristics, both as standalone entities and in a portfolio context. Lastly, we illustrate the potential benefits of building a portfolio of risk premia for asset allocation.