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Riskpremien, vad ska man tro? : En studie med facit i handLindén, Markus, Särnblom, Stellan January 2005 (has links)
<p>The market risk premium is one of the most important parameters in finance. Its value and the ways to calculate a risk premium for the market is a widely debated subject. This thesis examines numerous ways of calculating a risk premium for the Swedish market with regard to how good an estimation they make of a real risk premium. Estimations based on historical periods ranging from 20 to 85 years is calculated as well as a premium based on forward-looking estimates. The real risk premium is solved out for a selection of companies and an index with the help of CAPM. An examination of these estimates leads to the conclusion that historical estimates of a risk premium may be outdated. The implication of this is that more effort should be put into examining a risk premium based on forward-looking estimates. In this context a thorough analysis of fundamentals should be added into the calculation.</p>
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Riskpremien, vad ska man tro? : En studie med facit i handLindén, Markus, Särnblom, Stellan January 2005 (has links)
The market risk premium is one of the most important parameters in finance. Its value and the ways to calculate a risk premium for the market is a widely debated subject. This thesis examines numerous ways of calculating a risk premium for the Swedish market with regard to how good an estimation they make of a real risk premium. Estimations based on historical periods ranging from 20 to 85 years is calculated as well as a premium based on forward-looking estimates. The real risk premium is solved out for a selection of companies and an index with the help of CAPM. An examination of these estimates leads to the conclusion that historical estimates of a risk premium may be outdated. The implication of this is that more effort should be put into examining a risk premium based on forward-looking estimates. In this context a thorough analysis of fundamentals should be added into the calculation.
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Quantifying the Variance Risk Premium in VIX OptionsHogan, Reed M 01 January 2011 (has links)
This thesis uses synthetically created variance swaps on VIX futures to quantify the variance risk premium in VIX options. The results of this methodology suggest that the average premium is -3.26%, meaning that the realized variance on VIX futures is on average less than the variance implied by the swap rate. This premium does not vary with time or the level of the swap rate as much as premiums in other asset classes. A negative risk premium should mean that VIX option strategies that are net credit should be profitable. This thesis tests two simple net credit strategies with puts and calls, and finds that the call strategy is profitable while the put strategy is not.
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How Does Political Instability Affect Market Risk and the Risk Premium in IsraelSaad, Rami January 2011 (has links)
No description available.
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The Causes to Deviation from Interest Rate Parity in Taiwan.Yang, Shih-Ching 30 July 2001 (has links)
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Cultural values impact on risk perceptions a comparison of cultural indexes and risk premiumConstantino, Anna 01 May 2012 (has links)
This paper examines how cultural values influence risk premium across the world. Cultural values are measured by four cultural indexes, power distance, uncertainty avoidance index, masculinity index, and individualism index, established by Geert Hofstede. Our methodology determines the risk premium by using the Dividend Discount Model, and then computes the regression analysis of each index's impact on average risk premiums. After analyzing 31 countries, results show the only statistically significant correlation found was between the individualism index and risk premium. The higher the individualistic nature of the culture was the higher the risk premium. This is attributed to the overconfidence and self-attribution biases found in investors with high individualism index.
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Utility-based Futures Contract Pricing under Stochastic Interest Rate, Appreciation Rate and Dividend YieldLiu, Cheng 29 November 2010 (has links)
No description available.
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Time variations in equity returnsFitzGerald, Adrian January 2009 (has links)
Investors accept that there is uncertainty, or risk, associated with equity investment returns. Consequently, equities are normally priced so that they provide a premium to the returns available on risk-free investments. Equity returns, however, are cyclical. There can be long periods when equity returns greatly exceed risk-free returns; there can be long periods when the premium disappears altogether. This thesis explores the influences and driving forces in equity markets, with a particular emphasis on the UK equity market. Both rational and irrational influences are examined and discussed. A General Literature Review examines the general progression in academic thinking in the area of equity pricing over four decades and takes a close look at the concepts of market efficiency and the challenges mounted by behavioural finance. The “equity risk premium puzzle” is also examined. Chapters 3 to 6 contain empirical studies of the variation in UK equity returns over time from four angles. The chapters look, respectively, at: macro-economic influences on the equity market; the relationship between equity returns and market volatility; the impact of variation in risk-free returns; a full decomposition of both ex-ante and ex-post equity returns. Reassuringly, the results confirm that the UK equity market is driven, in the main, by economic factors. However, the results also indicate that the full set of influences on the equity market is complex. The analyses undertaken suggest that significant swings occur in the risk premium element of expected equity returns. The results also suggest that there are periods when the UK equity market may be in disequilibrium with other financial markets. It is not the contention that many of the puzzles that have confronted equity market researchers over recent decades are now resolved by the analyses undertaken and presented in this thesis. It is to be hoped, however, that a useful platform has been built from which further investigation and analysis can be taken forward. In particular, it is suggested that comprehensive surveys of long-term expectations could lead to a better understanding of equity market mechanisms.
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noneChen, Chi-Huang 16 June 2005 (has links)
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noneLin, Chi-sung 06 July 2005 (has links)
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