The Pricing of Variance of Variance Risk in Cross-Sectional Equity Premium and Variance Premium

2013 ◽  
Author(s):  
Te-Feng Chen ◽  
San-Lin Chung
Keyword(s):  
Equity Premium ◽  
Cross Sectional ◽  
Variance Risk

scholarly journals Cross-sectional forecasts of the equity premium☆

2006 ◽  
Vol 81 (1) ◽  
pp. 101-141 ◽  
Author(s):  
C POLK ◽  
S THOMPSON ◽  
T VUOLTEENAHO
Keyword(s):  
Equity Premium ◽  
Cross Sectional

The conditional equity premium, cross-sectional returns and stochastic volatility

2014 ◽  
Vol 38 ◽  
pp. 316-327 ◽  
Author(s):  
Ka Wai Terence Fung ◽  
Chi Keung Marco Lau ◽  
Kwok Ho Chan
Keyword(s):  
Stochastic Volatility ◽  
Equity Premium ◽  
Cross Sectional

scholarly journals Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries

2019 ◽  
Vol 38 (2) ◽  
pp. 321
Author(s):  
Caio Almeida ◽  
Pedro Engel ◽  
Joao Paulo Valente
Keyword(s):  
Risk Aversion ◽  
Emerging Markets ◽  
Model Uncertainty ◽  
Equity Premium ◽  
Uncertainty Aversion ◽  
Risk And Uncertainty ◽  
Model Risk ◽  
Cross Sectional ◽  
Advanced Economies ◽  
Sectional Analysis

By analyzing a panel of macro data including both Emerging Markets (EM) and Advanced Economies (AE), we identify that an acceptable level of model uncertainty helps to explain the equity premium existing in all these markets. Model uncertainty aversion is in general higher for EMs than for AEs. In addition, the degree of cross-sectional heterogeneity across countries' estimates of model uncertainty aversion is smaller than the corresponding heterogeneity of the risk aversion estimates in a traditional CRRA preference. We also compute separate costs of model risk and uncertainty for these economies in terms of present consumption, and conclude that the most significant effects come from uncertainty.

scholarly journals Risk, Uncertainty, and Expected Returns

2016 ◽  
Vol 51 (3) ◽  
pp. 707-735 ◽  
Author(s):  
Turan G. Bali ◽  
Hao Zhou
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Risk Premia ◽  
Expected Returns ◽  
Cross Sectional ◽  
Asset Pricing Model ◽  
Variance Risk Premium ◽  
Equity Portfolios ◽  
Variance Risk ◽  
Highly Correlated

AbstractA conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premia. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the conditional covariances of equity portfolios with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant annualized 8% premium relative to portfolios that are minimally correlated with VRP.

Automated Image Analysis Of Nuclear And Cytoplasmic Changes In Exfoliated Cells From Tracheas Treated With Carcinogen

1977 ◽  
Vol 35 ◽  
pp. 220-221
Author(s):  
S.F. Stinson ◽  
J.C. Lilga ◽  
M.B. Sporn
Keyword(s):  
Image Analysis ◽  
Pattern Analysis ◽  
Relative Proportion ◽  
Automated Image Analysis ◽  
Image Analyzer ◽  
Cross Sectional ◽  
Exfoliated Cells ◽  
Neoplastic Lesions ◽  
Analysis System ◽  
Morphologic Criterion

Increased nuclear size, resulting in an increase in the relative proportion of nuclear to cytoplasmic sizes, is an important morphologic criterion for the evaluation of neoplastic and pre-neoplastic cells. This paper describes investigations into the suitability of automated image analysis for quantitating changes in nuclear and cytoplasmic cross-sectional areas in exfoliated cells from tracheas treated with carcinogen.Neoplastic and pre-neoplastic lesions were induced in the tracheas of Syrian hamsters with the carcinogen N-methyl-N-nitrosourea. Cytology samples were collected intra-tracheally with a specially designed catheter (1) and stained by a modified Papanicolaou technique. Three cytology specimens were selected from animals with normal tracheas, 3 from animals with dysplastic changes, and 3 from animals with epidermoid carcinoma. One hundred randomly selected cells on each slide were analyzed with a Bausch and Lomb Pattern Analysis System automated image analyzer.

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