Essays about: "risk premia"
Showing result 11 - 15 of 35 essays containing the words risk premia.
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11. Good and Bad Macroeconomic Uncertainty: Implications for Bond Risk Premia
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper explores the predictive power of macroeconomic uncertainty on bond risk premia. We decompose quarterly survey data into good and bad uncertainty components by estimating positive and negative semi-variances. Building on theoretical evidence, these uncertainties are assumed to feed into future positive and negative shocks to consumption. READ MORE
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12. Constructing a Volatility Risk Premium Using Gaussian Process for Regression
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis we investigate the volatility risk premium (VRP) on OMXS30 and S&P 500 and the predictive capabilities of Gaussian Process for regression (GP) on the volatility of those indices. The results are evaluated by comparison with corresponding predictions of a few methods from the GARCH family as well as a naive approach. READ MORE
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13. The role of state ownership on acquisition premia: Do Chinese enterprises pay systematically higher acquisition premia?
University essay from Lunds universitet/Ekonomisk-historiska institutionenAbstract : Usually, high acquisition premia are considered to be a proxy for aggressive management style, extremely risk-taking behavior and poor managerial decision making and ultimately failure. In the case of China, it is questionable if this assumption can hold true. READ MORE
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14. A Floating Currency Macro Term Structure Model
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : During the last decade there has been many advances in the field of research focusing on term structure models that include macroeconomic risks. The fact that such risks adds to the predictive power of risk premia is evident. READ MORE
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15. The Impact of Demographic and Socioeconomic Factors on Municipal Bond Coupon Rates
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis aims to understand and explain if and how demographic and socioeconomic factors affect the cost of debt for local governments, namely U.S. counties when issuing municipal bonds. By first discussing potential factors that may prove significant to financial performance, correlation analysis and model testing are made. READ MORE
