Recovering the market risk premium from higher‐order moment risks

2020 ◽  
Author(s):  
George Chalamandaris ◽  
Leonidas S. Rompolis
Keyword(s):  
Risk Premium ◽  
Market Risk ◽  
Higher Order ◽  
Order Moment ◽  
Market Risk Premium

The Cross Section of Expected Returns with MIDAS Betas

2011 ◽  
Vol 47 (1) ◽  
pp. 115-135 ◽  
Author(s):  
Mariano González ◽  
Juan Nave ◽  
Gonzalo Rubio
Keyword(s):  
Cross Section ◽  
Risk Premium ◽  
Market Risk ◽  
Ordinary Least Squares ◽  
Mixed Data ◽  
Expected Returns ◽  
Data Sampling ◽  
Cross Sectional ◽  
Market Risk Premium ◽  
The Cross

AbstractThis paper explores the cross-sectional variation of expected returns for a large cross section of industry and size/book-to-market portfolios. We employ mixed data sampling (MIDAS) to estimate a portfolio’s conditional beta with the market and with alternative risk factors and innovations to well-known macroeconomic variables. The market risk premium is positive and significant, and the result is robust to alternative asset pricing specifications and model misspecification. However, the traditional 2-pass ordinary least squares (OLS) cross-sectional regressions produce an estimate of the market risk premium that is negative, and significantly different from 0. Using alternative procedures, we compare both beta estimators. We conclude that beta estimates under MIDAS present lower mean absolute forecasting errors and generate better out-of-sample performance of the optimized portfolios relative to OLS betas.

An Empirical Examination of Ex AnteEstimates of the Market Risk Premium

2014 ◽  
Vol 23 (2) ◽  
pp. 51-58 ◽  
Author(s):  
Austin Murphy ◽  
Liang Fu ◽  
Terry Benzschawel
Keyword(s):  
Risk Premium ◽  
Market Risk ◽  
Empirical Examination ◽  
Market Risk Premium
Sign in / Sign up

Export Citation Format

Share Document