scholarly journals Rational Learning and the Term Structures of Value and Growth Risk Premia

2020 ◽  
Author(s):  
Michael Hasler ◽  
Mariana Khapko ◽  
Roberto Marfè
Keyword(s):  
Risk Premia ◽  
Term Structures ◽  
Rational Learning

Common Factors and Local Factors: Implications for Term Structures and Exchange Rates

2004 ◽  
Vol 39 (1) ◽  
pp. 69-102 ◽  
Author(s):  
Dong-Hyun Ahn
Keyword(s):  
Exchange Rate ◽  
Term Structure ◽  
Risk Premia ◽  
Necessary Condition ◽  
Local Factors ◽  
Forward Premium ◽  
Term Structures ◽  
Bond Portfolio ◽  
Premium Puzzle ◽  
Foreign Bonds

AbstractThis paper studies a multi-factor, two-country term structure and exchange rate model when a diversification effect for an international bond portfolio is expected. It shows that the diversification gain calls upon certain restrictions on the process of the stochastic discount factor in a factor-structured economy. Existence of local factors is shown to be a necessary condition for the gains from investing in foreign bonds. Further, the exchange rate risk premia are shown to be a function of the differentials of the risk premia of the factors in bond returns. Empirical results reveal the tendency for investors to respond sensitively to rare shocks, which is shown to be a potential solution to the forward premium puzzle.

Forecasting Risk Premia for Stocks and Bonds

1990 ◽  
Vol 1990 (1) ◽  
pp. 22-28
Author(s):  
Kenneth R. French
Keyword(s):  
Risk Premia

Tails, Fears, and Risk Premia

CFA Digest ◽  
2012 ◽  
Vol 42 (2) ◽  
pp. 68-69
Author(s):  
Keith H. Black
Keyword(s):  
Risk Premia
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