<p>Bakgrund: Marknadens riskpremie kan förklaras som den förväntade avkastning en investerare kräver för att acceptera en viss risk. Hur riskpremien skall bestämmas har stått i fokus för omfattande debatter de senaste åren men fortfarande har ingen ultimat lösning infunnit sig. Det finns två huvudsakliga tillvägagångssätt för att uppskatta riskpremien. Det ena att använda historisk data över aktieutvecklingen och därefter förvänta sig att en framtida utveckling kommer att vara likvärdig. Den andra är att göra uppskattningar av den framtida utvecklingen, så som framtida utdelningar, framtida vinster, BNP och inflation och därifrån göra en uppskattning utav riskpremien. Att använda sig av historiska värden har tidigare varit en accepterad metod både i den akademiska och finansiella värden men då den på senare tid har mötts av omfattande kritik, har modeller baserade på uppskattningar av framtiden vuxit sig starkare.</p><p>Syfte: Syftet med denna uppsats är att ge en djupgående beskrivning av hur svenska finansiella företag uppskattar och hanterar riskpremium för den svenska aktiemarknaden. Därigenom fanns en avsikt att studera vilken metod som främst användes, hur viktigt riskpremium i form av ett investeringsinstrument var, och morgondagens betydelse av riskpremium.</p><p>Metod: Författarna använde sig av en kvalitativ metod, där det empiriska materialet samlades in med hjälp av personliga intervjuer. Intervjufrågor av öppen karaktär skickades ut till respondenterna i förväg, och intervjuerna ägde därefter rum i Stockholm och Göteborg. I den teoretiska referensramen användes både så kallad primär och sekundär litteratur för att kunna redogöra en övergripande bild av problemområdet. Den primära litteraturen, som framförallt ligger till grund för kapitel tre, sågs extra viktig att inkludera då den möjliggjorde en minskad subjektivitet som annars hade riskerat att belasta uppsatsen.</p><p>Resultat: Resultaten visade en varierad syn mellan respondenterna där vissa ansåg att riskpremien hade ringa betydelse och andra att det var en mycket viktig variabel. Överlag fanns det dock ett ökat intresse de senaste åren. Även val av metod varierade och vare sig historisk data eller framtida uppskattningar kunde sägas ha ett övertag bland användarna. Avslutningsvis såg författarna ett ökat intresse för de ingående variablerna i modeller som baseras på framtida förväntade värden och kunde därav visa att den framtida debatten sannolikt kommer att behandla vilka variabler som bör inkluderas i denna typ av modeller och hur de bör uppskattas.</p>

近年來的研究顯示英美兩國的無風險利率存在著星期效應，但其股市報酬率的星期效應卻逐漸消失、甚至有反轉，因此本研究想探討台灣加權股價指數報酬率與無風險利率，是否存在著星期效應，抑或跟隨英美兩國的腳步，星期效應不再。此外，本研究亦探討風險溢酬的星期效應，試圖從中解開風險溢酬之謎(Equity Risk Premium)。 行政院於1998年至2000年實施「公務人員每月二次週休二日實施計劃」，台灣股票市場因此實施隔週休二日的制度，這特別的休市制度正好提供本研究進行交割效應假說所需的特殊樣本。認售權證正式於2003年7月上市掛牌買賣，因此去年下半年開始發行的認售權證交易量，亦正好提供本研究檢定投機放空假說所需的樣本。 實證結果顯示，大盤指數報酬率與風險溢酬有顯著的星期效應與週末效應，一週之中每日的報酬率並不相等，其中以週五與週六為最高，有顯著為正的報酬。而週一與週二平均報酬率為負但不顯著。而無風險利率有顯著的星期效應，但週末效應卻不顯著，一週之中每日的利率雖不相等但均顯著異於零。 更進一步探究報酬率、風險溢酬之星期效應與週末效應的成因，發現此星期效應、週末效應支持資訊處理假說、正向回饋假說與投機放空假說；但是卻不支持交割效應假說淤測量錯誤假說。因此得知台灣股票市場報酬率與風險溢酬之星期效應與週末效應的成因，乃為投資人在工作日與非工作日資訊處理成本的差異而導致；此外，過多的融券交易量亦為造成星期效應與週末效應的成因之一。 關鍵詞：星期效應、週末效應、風險溢酬、TLS模型、Power Ratio

[pt] Esta dissertação tem como objetivo buscar evidências de prêmio de risco a partir do mercado de opções e de futuro de dólar no Brasil. Para isso dois ensaios foram realizados: um que mede o prêmio de risco por volatilidade no mercado de opções e outro que mede o prêmio de risco cambial no mercado futuro. No primeiro caso, o prêmio é estimado como o excesso de retorno de um portfolio protegido. No segundo caso, o prêmio é estimado com base na Teoria da Paridade de Juros ajustada a risco pelo modelo CGARCH-M. Verificou-se evidências de forward bias puzzle e de prêmio de risco por volatilidade e cambial ambos negativos e variantes no tempo. O primeiro é responsável por aumento nos preços das opções de moeda enquanto o segundo é consistente com a teoria de média-variância, ou seja, o investidor avesso ao risco requer mais retorno com o aumento do risco. Além disso, choques não antecipados possuem influência na determinação do componente de longo prazo da volatilidade do prêmio de risco cambial. Em momentos de incerteza global no mercado e aumento nas restrições de liquidez a volatilidade de curto prazo se eleva. Entretanto somente com o prêmio de risco não é possível explicar os preços viesados. Portanto, são necessários estudos futuros que envolvam tanto custo de transação, quanto o desenvolvimento de modelo econômico mais tratável para determinação da taxa de câmbio. / [en] This work aims to seek evidence of risk premium in the option and future foreign exchange markets of dollar in Brazil. For that we used two essays: one that measures the premium for volatility risk in the option market and other which measures the currency risk premium in the future market. In the first case, the premium is estimated as excess return of hedge portfolio. In the second case, the premium is estimated based on risk-adjusted Interest Rate Parity Theory from a CGARCH-M model. There was evidence of forward bias puzzle and premium for volatility and for currency risk both negative and time-varying. The first is responsible for increasing currency option price, while the second is consistent with the mean-variance theory, so risk averse investors required more return when they face higher risk. In addition, unanticipated shocks have an influence in determining the long-term volatility component of currency risk premium. In times of global market uncertainty and increasing liquidity constraints the short-term volatility raises. But only the risk premium can not explain the price biased. So transaction cost and a more effective economic model must be including in futher studies about exchange rate discovering.

[pt] O Prêmio de Risco do mercado acionário, infelizmente, não possui uma definição universalmente aceita. O material já publicado sobre o tema Prêmio de Risco do mercado acionário é muito vasto e abrangente, abordando desde análises ex- post sobre dados históricos (com diversos períodos amostrais, intervalos de observação, fatores de ajuste e em diversos países) até estimativas do prêmio ex-ante através dos mais variados modelos baseados em variáveis tais como aversão a risco, crescimento do consumo, dados contábeis e dividend yield, entre outros. O objetivo desta dissertação será analisarmos uma condensação das várias abordagens utilizadas, seus resultados e contribuições. Frente as significativas diferenças encontradas ao se computar o prêmio de risco, é fundamental o usuário da estimativa do prêmio de risco saber claramente qual a definição usada na estimativa e por que tal definição seria apropriada para seu propósito particular. No final dessa dissertação realizaremos uma estimativa do prêmio de risco no Brasil com base em um estudo de 1993 realizado pela McKinsey e Company, Inc. / [en] Unfortunately, there is no universally accepted definition of the Equity Risk Premium. Available material on the theme are very broad and deep, ranging from ex-post analysis on historical data -with distinct samples in different time periods- to ex-ante estimates of the equity premium making use of several models based in variables such as risk aversion, consumption growth, accounting data and dividend yield, among others. The objective of this paper will be to analyze a compilation of several approaches taken, their results and contributions. In face of the significant differences presented when computing the equity premium, it is key for the investor who will make use of the equity premium estimate to know clearly which definition of the premium he will be using and why is that definition appropriate for his particular purpose. In the final chapter we will estimate the equity risk premium in Brazil based on a study developed in 1993 by McKinsey and Company, Inc.

Under the current regulatory regime for insurance undertakings, Solvency I, the required capital margin does not depend on the allocation of investments, i.e. it is not sensitive to market risk arising from the volatility of market prices for e.g. equity, bond or real estate investments. To improve the protection of policyholders and create a unified regulatory regime in all countries of the European Economic Area (EEA), a risk-sensitive, forward-looking and principle-based regulatory accord for insurance undertakings called Solvency II will replace the current regime by 01.01.2016. Unlike Solvency I, Solvency II requires the backing up of any investment in risky assets with risk capital rather than imposing investment limits. Own funds eligible to cover the solvency capital requirements under Solvency II shall be based on the difference of market-consistently valuated assets and liabilities in the Solvency II balance sheet. In this thesis, I first summarize academic contributions as well as opinions from industry representatives on the expected consequences of the current calibration of the Solvency II standard formula. The accuracy of the calibration itself is another focal point of this work. This work contains four scientific papers. The first paper examines the presence of contagion effects between Eurozone countries in the period 2008-2012. In a market-consistent valuation approach like Solvency II contagion effects intensify the volatility of own funds and therefore of the solvency ratio of insurers. The intensity of contagion peaked in 2010 and first half of 2011 but decreased subsequently which is likely to be a consequence of bailout measures by the EU and the IMF and ECB interventions. The second and third paper address the zero risk charge for sovereign debt issued by EU member states assumed under the Solvency II standard formula. If one accepts German bond yields to be a risk-free asset, using modern cointegration techniques I showed that bonds of only one third of EU member countries can be perceived as risk-free as well. The fourth paper provides evidence for convergence in the shock-response-behavior of the stock indices of Germany, UK and France during the past decades, which in turn indicates support for the assumption of a perfect tail correlation between listed equity in the Solvency II standard formula.

本研究主要欲針對市場擇時理論進行實證研究，研究期間橫跨1990年至2008年，以台灣上市公司為研究樣本，主要欲探討兩大議題：第一部分驗證台灣上市公司是否會在權益資金成本相對較低時，進行外部權益融資，而使公司之槓桿下降；反之，觀察其是否會在權益資金成本相對較高時，進行負債融資，而使公司槓桿上升。研究方法參考Huang and Ritter(2009)之方法，使用剩餘收益模型估計權益資金成本，並以權益風險溢酬作為衡量市場擇時行為的代理變數，探討權益資金成本的大小是否會透過淨權益的發行而影響公司資本結構，並加入公司特徵變數與總體市況變數作為控制變數。實證結果顯示在公司有財務資金需求的前提下，公司的負債比例與權益風險溢酬之間存在正向的關係，此結果符合市場擇時理論之預期。第二部分討論過去依據資金成本之高低所進行的市場擇時融資行為是否會影響公司的資本結構。實證結果發現市場擇時行為對公司資本結構的影響力會在三年後消逝，對資本結構只具有短期的影響效果。 / This paper examines market timing theory on Taiwan listed company during 1990－2008, and focus on two topics. In the first part, we want to test whether firms fund larger proportion of their financing deficit with external equity when cost of equity is relatively low. We refer to Huang and Ritter (2009), using residual income model to estimate the firm’s implied cost of equity, and let implied equity risk premium as a market timing proxy. Consistent with the market timing theory, the empirical evidences show that the effect of financing deficit on leverage is positively related to the implied equity risk premium. In the second part, we test whether the historical values of cost of equity have persistent impact on current capital structure. We find about three years impacts, indicating that past market timing financing behavior have short-term effects on firm’s capital structure.

[pt] Mostramos que o movimento do retorno de ações horas antes do anúncio do FOMC ocorre principalmente em períodos de alta incerteza de mercado. Especificamente, esse retorno anormal é explicado por uma redução significativa do prêmio de risco (volatilidade implícita e prêmio de variância) antes do anúncio, mas apenas quando o prêmio de risco do mercado é alto (quando está acima da sua mediana). As medidas de incerteza de mercado que são relevantes são persistentes e não são relacionadas à incerteza ou expectativa com relação à política. O mercado não fica estressado dias antes do anúncio, e a resolução de incerteza não é revertida dias após a reunião. Além disso, nós explicamos o porquê do movimento de antecipação não ser observado na última década, uma vez que a ausência de evidência advém da variação no tempo que também estava presente em dados passados. Adicionalmente, o CAPM funciona em datas de FOMC apenas quando o prêmio de risco é alto, ou seja, quando a volatilidade implícita está acima da mediana histórica até o momento. Os resultados são robustos a diferentes amostras e medidas alternativas de prêmio de risco e incerteza. / [en] We show that the pre-FOMC announcement drift in equity returns occurs mostly in periods of high market uncertainty. Specifically, this abnormal return is explained by a significant reduction in the risk premium (implied volatility and variance risk premium) prior to the announcement, but only when the risk premium is high, e.g., when it is above its median. The relevant measures of market uncertainty are persistent and are not related to policy uncertainty or expectations. Markets do not become stressed in the days prior to the announcement, and the resolution of uncertainty is not reversed in the days after the meeting. Moreover, we explain why recent studies suggest that the pre-FOMC drift might have disappeared in the past decade, as this decline in the effect is due to time variation that was also present in older data. Additionally, CAPM only works on FOMC dates when the risk premium is high, e.g., implied volatility above its prior median level. The results are robust to different samples and to alternative risk premium and uncertainty measures.

abstract: This dissertation is a collection of three essays relating household financial obligations to asset prices. Financial obligations include both debt payments and other financial commitments. In the first essay, I investigate how household financial obligations affect the equity premium. I modify the standard Mehra-Prescott (1985) consumption-based asset pricing model to resolve the equity risk premium puzzle. I focus on two channels: the preference channel and the borrowing constraints channel. Under reasonable parameterizations, my model generates equity risk premiums similar in magnitudes to those observed in U.S. data. Furthermore, I show that relaxing the borrowing constraint shrinks the equity risk premium. In the Second essay, I test the predictability of excess market returns using the household financial obligations ratio. I show that deviations in the household financial obligations ratio from its long-run mean is a better forecaster of future market returns than alternative prediction variables. The results remain significant using either quarterly or annual data and are robust to out-of-sample tests. In the third essay, I investigate whether the risk associated with household financial obligations is an economy-wide risk with the potential to explain fluctuations in the cross-section of stock returns. The multifactor model I propose, is a modification of the capital asset pricing model that includes the financial obligations ratio as a ``conditioning down" variable. The key finding is that there is an aggregate hedging demand for securities that pay off in periods characterized by higher levels of financial obligations ratios. The consistent pricing of financial obligations risk with a negative risk premium suggests that the financial obligations ratio acts as a state variable. / Dissertation/Thesis / Doctoral Dissertation Economics 2017

[pt] Neste trabalho, eu busco replicar o modelo somente com taxas de juros ex-posto em Rudebusch e Wu (2004) para a Estrutura a Termo de Taxa de Juros no Brasil, visando extrair dois fatores latentes que expliquem a curva de juros brasi-leira. O modelo faz parte da família dos modelos afins de estrutura a termo, sem arbitragem, com os fatores sendo extraídos através de uma função de máxima ve-rossimilhança e obtidos via Filtro de Kalman. Posteriormente, eu busco uma rela-ção do preço do risco associado a cada choque do vetor de estados com um ativo de risco - medido aqui através do IBOVESPA. / [en] This paper seeks to replicate the yields-only model present in Rudebusch e Wu (2004) for the Brazilian yield curve, aiming to extract two latent factors that explain all the Brazilian yield curve. The model belongs to the family of the no-arbitrage affine models, with the factors being extracted through a maximum likelihood function, with Kalman Filter. Then, the risk price of the state vector is compared with a risk asset.

Under the current regulatory regime for insurance undertakings, Solvency I, the required capital margin does not depend on the allocation of investments, i.e. it is not sensitive to market risk arising from the volatility of market prices for e.g. equity, bond or real estate investments. To improve the protection of policyholders and create a unified regulatory regime in all countries of the European Economic Area (EEA), a risk-sensitive, forward-looking and principle-based regulatory accord for insurance undertakings called Solvency II will replace the current regime by 01.01.2016. Unlike Solvency I, Solvency II requires the backing up of any investment in risky assets with risk capital rather than imposing investment limits. Own funds eligible to cover the solvency capital requirements under Solvency II shall be based on the difference of market-consistently valuated assets and liabilities in the Solvency II balance sheet. In this thesis, I first summarize academic contributions as well as opinions from industry representatives on the expected consequences of the current calibration of the Solvency II standard formula. The accuracy of the calibration itself is another focal point of this work. This work contains four scientific papers. The first paper examines the presence of contagion effects between Eurozone countries in the period 2008-2012. In a market-consistent valuation approach like Solvency II contagion effects intensify the volatility of own funds and therefore of the solvency ratio of insurers. The intensity of contagion peaked in 2010 and first half of 2011 but decreased subsequently which is likely to be a consequence of bailout measures by the EU and the IMF and ECB interventions. The second and third paper address the zero risk charge for sovereign debt issued by EU member states assumed under the Solvency II standard formula. If one accepts German bond yields to be a risk-free asset, using modern cointegration techniques I showed that bonds of only one third of EU member countries can be perceived as risk-free as well. The fourth paper provides evidence for convergence in the shock-response-behavior of the stock indices of Germany, UK and France during the past decades, which in turn indicates support for the assumption of a perfect tail correlation between listed equity in the Solvency II standard formula.