scholarly journals Understanding Emerging Market Equity Risk Premia: Industries, Governance and Macroeconomic Policy Uncertainty

2013 ◽  
Author(s):  
Michael Donadelli ◽  
Lauren Persha
Keyword(s):  
Emerging Market ◽  
Macroeconomic Policy ◽  
Risk Premia ◽  
Policy Uncertainty ◽  
Equity Risk

Disappointment, Pessimism and the Equity Risk Premia

2002 ◽  
Author(s):  
Thierry Chauveau ◽  
Nicolas Nalpas
Keyword(s):  
Risk Premia ◽  
Equity Risk

scholarly journals Safe-Haven Assets, Financial Crises, and Macroeconomic Variables: Evidence from the Last Two Decades (2000–2018)

2020 ◽  
Vol 13 (3) ◽  
pp. 40
Author(s):  
Marco Tronzano
Keyword(s):  
Risk Premium ◽  
Financial Crises ◽  
Asset Returns ◽  
Policy Uncertainty ◽  
Safe Haven ◽  
Macroeconomic Variables ◽  
Equity Risk ◽  
Global Investors ◽  
The Impact ◽  
Portfolio Shifts

This paper focuses on three “safe haven” assets (gold, oil, and the Swiss Franc) and examines the impact of recent financial crises and some macroeconomic variables on their return co-movements during the last two decades. All financial crises produced significant increases in conditional correlations between these asset returns, thus revealing consistent portfolio shifts from more traditional towards safer financial instruments during turbulent periods. The world equity risk premium stands out as the most relevant macroeconomic variable affecting return co-movements, while economic policy uncertainty indicators also exerted significant effects. Overall, this evidence points out that gold, oil, and the Swiss currency played an important role in global investors’ portfolio allocation choices, and that these assets preserved their essential “safe haven” properties during the period examined.

scholarly journals On the Timing and Pricing of Dividends: Comment

2016 ◽  
Vol 106 (10) ◽  
pp. 3185-3223 ◽  
Author(s):  
Florian Schulz
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Risk Premia ◽  
Equity Returns ◽  
Equity Risk Premium ◽  
Short Term ◽  
Equity Risk ◽  
Market Portfolio ◽  
Show Evidence

I present novel empirical evidence on the term structure of the equity risk premium. In contrast to previous research that documented high discount rates for the short-term component of the market portfolio, I show evidence for an unconditionally flat term structure of equity risk premia. The tension with previous literature arises largely as a result of differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend days, and liquidity. The results not only help resolve an important recent “puzzle” but provide further important insights on the role of investment taxes in asset pricing. (JEL G11, G12, G35)

Conditional equity risk premia and realized variance jump risk

2014 ◽  
Vol 40 (2) ◽  
pp. 295-317 ◽  
Author(s):  
Zhanglong Wang ◽  
Kent Wang ◽  
Zheyao Pan
Keyword(s):  
Risk Premia ◽  
Realized Variance ◽  
Jump Risk ◽  
Equity Risk
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