Market Risk Premium and Interest Rates
نویسنده
چکیده
منابع مشابه
An Affine Model of Long Maturity Forward rates, with Predictable Risk Premium
Distantly maturing forward rates represent the markets long term (risk neutral) expectations about interest rates. As such, they are the fundamental ingredient of the pricing kernel. In most equilibrium models, interest rates mean revert, and long forward rates are asymptotically constant. However, from US Treasury STRIPs data, forward rates slope increasingly downwards, and do not attenuate in...
متن کاملExploring Determinants of Long-Term Interest Rates
In South Africa, long-term interest rates have often been high in real terms and relatively volatile, although they declined somewhat in recent years (Figure 13.1). This chapter attempts to show that this decline is due not only to an improved external capital market but also to the strong progress made in macroeconomic management. In particular, the implementation of policy measures, such as d...
متن کاملNoise Trading Approach of Capital Asset Pricing at Tehran Stock Exchange
Noise traders as one of the key elements of the market play a significant role in determining the market volatilities, returns, and stock market mispricing. Hence, this study attempts to scrutinize the role of noise trading in capital asset pricing. Therefore, by using daily data, samples including 14105 data of 200 companies listed on stock exchange were selected and noise trading index was es...
متن کاملWhich Will Overcome? The Productivity or Risk Premium
The study investigates consumers’ preference for cowpea reflected in the Nigerian markets through price discounts and premiums that consumers pay for different cowpea characteristics. The price data used for this study were obtained through a market survey. A common data collection protocol was employed. Every month, between October 2009 to December 2010, five cowpea samples per seller were bou...
متن کاملCash Flow Risk, Discounting Risk, and the Equity Premium Puzzle
This article investigates the impact of cash flow risk and discounting risk on the aggregate equity premium. Our approach is based on the idea that consumption is hard to measure empirically, so if we substitute out an empirically difficult-to-estimate marginal utility by a pricing kernel of observables, we can evaluate the empirical performance of an equilibrium asset pricing model in a differ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2000