◾ The “Death” of Interest Rate Risk Premium

2016 ◽  
pp. 64-87
Keyword(s):  
Interest Rate ◽  
Risk Premium ◽  
Interest Rate Risk ◽  
Rate Risk

Interest rate risk premium and equity valuation

2010 ◽  
Vol 23 (3) ◽  
pp. 484-498 ◽  
Author(s):  
Zhuang Kang ◽  
Srdjan D. Stojanovic
Keyword(s):  
Interest Rate ◽  
Risk Premium ◽  
Interest Rate Risk ◽  
Equity Valuation ◽  
Rate Risk

scholarly journals Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20

2019 ◽  
Vol 11 (2) ◽  
pp. 162-175
Author(s):  
Cláudio Francisco Rezende ◽  
Vinícius Silva Pereira ◽  
Antonio Sergio Torres Penedo
Keyword(s):  
Asset Pricing ◽  
Interest Rate ◽  
Risk Premium ◽  
Fixed Effects ◽  
Interest Rate Risk ◽  
Pricing Model ◽  
Risk Premiums ◽  
Asset Pricing Model ◽  
Rate Risk ◽  
The Interest Rate

The objective of this paper is to empirically investigate the applicability of the asset pricing model in a portfolio made up of groups of countries, the G20 for this case. In the meantime, it was intended to compare a complete sample of 14 constituent countries of the group, a subsample of four countries belonging to the BRICS and another of the countries that do not belong. The survey sample consisted of long-term interest rate data from these countries collected in the OECD database and also from the Central Bank of Brazil (Bacen). Based on the results of the regression of Panel data on fixed effects, we found evidence that there is a statistically positive relationship between the market risk premium and the interest rate risk premiums. The regression betas showed that the interest rate risk premium is not sensitive when considering the full sample of the G20 countries but is sensitive in the BRICS sample.

Balance-sheet interest rate risk: a weighted Lp approach

2018 ◽  
Vol 21 (1) ◽  
pp. 91-104 ◽  
Author(s):  
Leslaw Gajek ◽  
Elzbieta Krajewska
Keyword(s):  
Interest Rate ◽  
Balance Sheet ◽  
Interest Rate Risk ◽  
Rate Risk
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