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Author : Alberto Giovannini
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (848 download)
Download or read book The Time-variation of Risk Ad Return in the Foreign Exchange and Stock Markets written by Alberto Giovannini and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alberto Giovannini
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.X/5 (1 download)
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.
Download or read book The Time-variation of Risk and Return in the Foreign Exchange and Stock Markets written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alberto GIOVANNINI
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book THE TIME-VARIATION OF RISK AND RETURN IN THE FOREIGN EXCHANGE AND STOCK MARKET written by Alberto GIOVANNINI and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alberto Giovannini
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.0/5 ( download)
Download or read book Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market written by Alberto Giovannini and published by . This book was released on 1986 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wolfgang Drobetz
Publisher : Springer Science & Business Media
ISBN 13 : 3663085295
Total Pages : 346 pages
Book Rating : 4.6/5 (63 download)
Download or read book Global Stock Markets written by Wolfgang Drobetz and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (129 download)
Download or read book The time variation of risk and return in foreign exchange markets written by Geert Bekaert and published by . This book was released on 1994 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (873 download)
Download or read book The Time Variation of Risk and Return in Foreign Exchange Markets written by Geert Bekaert and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the statistical properties of high frequency nominal exchange rates and forward premiums in the context of a dynamic two-country general equilibrium model. Primary focus is on the persistence, variability, leptokurtosis and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model combines temporal dependencies in preferences with a transaction cost technology that generates a role for money. Agents in the economy make decisions on a weekly frequency and face shocks which display time-varying uncertainty. Simulations reveal that the model accounts for the statistical properties of exchange rate data much more accurately than previous structural models
Author : Richard A. Brealey
Publisher : MIT Press (MA)
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.3/5 (97 download)
Download or read book An Introduction to Risk and Return from Common Stocks written by Richard A. Brealey and published by MIT Press (MA). This book was released on 1969 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)
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.
Author : Turan G. Bali
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Intertemporal Relation between Expected Return and Risk on Currency written by Turan G. Bali and published by . This book was released on 2012 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper examines the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides new evidence on the intertemporal capital asset pricing model by using high-frequency intraday data on currency and by presenting significant time-variation in the risk aversion parameter. Five-minute returns on the spot exchange rates of the U.S. dollar vis-a-vis six major currencies (the Euro, Japanese Yen, British Pound Sterling, Swiss Franc, Australian Dollar, and Canadian Dollar) are used to test the existence and significance of a daily risk-return tradeoff in the FX market based on the GARCH, realized, and range volatility estimators. The results indicate a positive, but statistically weak relation between risk and return on currency.
Author : Chu-Sheng Tai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Time-Varying Risk Premia in Foreign Exchange and Equity Markets written by Chu-Sheng Tai and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the puzzles in international finance literature is the deviations from Uncovered Interest Parity (UIP). In this paper, I further examine the validity of the risk premia hypothesis in explaining this puzzle by testing a conditional international CAPM (ICAPM) in the absence of Purchasing Power Parity (PPP) using data from both foreign exchange and equity markets in Asia-Pacific countries. When considering foreign exchange markets only, I find that conditional variances are not related to the deviations from UIP in any statistical sense based on an univariate GARCH(1,1)-M model. However, as I consider both foreign exchange and equity markets together and test the conditional ICAPM in the absence of PPP, I can not reject the model based on the J-test by Hansen (Econometrica 50 (1982), 1029-1054), and find significant time-varying market and foreign exchange risk premia presented in the data. This empirical evidence supports the notion of time-varying risk premia in explaining the deviations from UIP. It also supports the idea that the foreign exchange risk is not diversifiable and hence should be priced in both markets.Key Words: International asset pricing, Uncovered interest parity, Time-varying risk premium, GARCH, GMM.
Author : Thomas Nitschka
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (553 download)
Download or read book Momentum in Stock Market Returns, Risk Premia on Foreign Currencies and International Financial Integration written by Thomas Nitschka and published by . This book was released on 2009 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260216
Total Pages : 428 pages
Book Rating : 4.2/5 (262 download)
Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)
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.
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (343 download)
Download or read book The Time-variation of Expected Returns and Volatility in Foreign Exchange Markets written by Geert Bekaert and published by . This book was released on 1992 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (318 download)
Download or read book Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets written by Geert Bekaert and published by . This book was released on 1991 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper characterizes predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressive techniques demonstrate one-step-ahead predictability and provide implied long-horizon statistics. We estimate latent variable models as constrained counterparts to the VARs. The predictability of returns is related to asset pricing models by examining the volatility bounds on intertemporal marginal rates of substitution.
