Essays about: "risk premia"

Showing result 21 - 25 of 35 essays containing the words risk premia.

  1. 21. Growth Opportunities, Investment Propensity and Currency Risk Premia

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Martin Welz; [2014]
    Keywords : Carry trade; Capital inflows; Currency risk premia; Growth opportunities;

    Abstract : Recent studies have found a link between exchange rate returns and macroeconomic imbalances. However, focusing mainly on standard fundamentals might not identify the true drivers of an economy's future repayment ability and therefore currency risk. READ MORE

  3. 22. Empirical Risk Decomposition of Break-even Inflation

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jonas Gustavsson; Patrik Paluch; [2014]
    Keywords : TIPS; Break-even inflation; Term structure; Liquidity; Inflation;

    Abstract : Using principal component analysis, we find that there are three principal components that can explain almost all of the variation in the 5-20 year maturities of break-even inflation, defined as the spread between nominal Treasury and TIPS yields. The three principal components correspond to the factors regularly used in the empirical literature to describe the term structure of interest rates, namely, level, slope and curvature. READ MORE

  4. 23. Allocation Methods for Alternative Risk Premia Strategies

    University essay from KTH/Matematisk statistik

    Author : Daniel Drugge; [2014]
    Keywords : ;

    Abstract : We use regime switching and regression tree methods to evaluate performance in the risk premia strategies provided by Deutsche Bank and constructed from U.S. research data from the Fama French library. The regime switching method uses the Baum-Welch algorithm at its core and splits return data into a normal and a turbulent regime. READ MORE

  5. 24. A Framework For Analysing Investable Risk Premia Strategies

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Joakim Sandqvist; Erik Byström; [2014]
    Keywords : Risk premia; cluster tree; spanning tree; principal component analysis; macroeconomics; Riskpremier; cluster tree; spanning tree; principal component analysis; makroekonomi;

    Abstract : The focus of this study is to map, classify and analyse how different risk premia strategies that are fully implementable, perform and are affected by different economic environments. The results are of interest for practitioners who currently invest in or are thinking about investing in risk premia strategies. READ MORE

  6. 25. The effect of Optimism on teh Equity Premium

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Alexander Boukaras; Helena Winje; [2013-03-14]
    Keywords : Behavioral Finance; Equity Risk Premium; Equity Premium Puzzle; Optimism;

    Abstract : The Equity Premium Puzzle highlights the occurrence of historical equity premium being an order of magnitude greater than can be rationalized in the context of the standard paradigm of financial economics. Studies have shown that pessimism may explain this puzzle. READ MORE