The Experts below are selected from a list of 28665 Experts worldwide ranked by ideXlab platform
Chardin Wese Simen - One of the best experts on this subject based on the ideXlab platform.
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The predictive power of the dividend Risk Premium
2019Co-Authors: Davide E. Avino, Andrei Stancu, Chardin Wese SimenAbstract:We show that the dividend growth rate implied by the options market is informative about (i) the expected dividend growth rate and (ii) the expected dividend Risk Premium. We model the expected dividend Risk Premium and explore its implications for the predictability of dividend growth and stock market returns. Correcting for the expected dividend Risk Premium strengthens the evidence of dividend growth and stock market return predictability both in- and out-of-sample. Economically, a market timing investor who accounts for the time varying expected dividend Risk Premium realizes an additional utility gain of 2.02 % per year.
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The Risk Premium of gold
Journal of International Money and Finance, 2019Co-Authors: Duc Binh Benno Nguyen, Marcel Prokopczuk, Chardin Wese SimenAbstract:This paper examines the properties of the gold Risk Premium. We estimate a parsimonious model for the gold Risk Premium and uncover important time variations in the dynamics of the Risk Premium. We also estimate the Risk premia of the stock and bond markets and investigate their co-movements. The results show that the co-movements of expected gold returns with expected returns of stocks and bonds are positive, while co-movements of realized returns are zero or negative on average. This results holds not only during normal market periods, but also in times of market stress. Furthermore, we find no significant co-movement of expected and realized returns of gold with inflation.
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The Risk Premium of Gold
2017Co-Authors: Duc Binh Benno Nguyen, Marcel Prokopczuk, Chardin Wese SimenAbstract:This paper examines the properties of the gold Risk Premium. We estimate a parsimonious model for the gold Risk Premium and uncover important time variations in the dynamics of the Risk Premium. We also estimate Risk premia of the stock and bond markets, and investigate the role of gold as a hedge and safe haven asset from an ex-ante point of view. The results show that gold is not expected to serve as hedge and safe haven for the bond and stock markets, but it is so realized ex-post. Further, we find that gold is neither expected to be an inflation hedge nor is it realized.
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The importance of the volatility Risk Premium for volatility forecasting
Journal of Banking and Finance, 2014Co-Authors: Marcel Prokopczuk, Chardin Wese SimenAbstract:In this paper, we study the role of the volatility Risk Premium for the forecasting performance of implied volatility. We introduce a non-parametric and parsimonious approach to adjust the model-free implied volatility for the volatility Risk Premium and implement this methodology using more than 20 years of options and futures data on three major energy markets. Using regression models and statistical loss functions, we find compelling evidence to suggest that the Risk Premium adjusted implied volatility significantly outperforms other models, including its unadjusted counterpart. Our main finding holds for different choices of volatility estimators and competing time-series models, underlying the robustness of our results.
Hiroshi Sasaki - One of the best experts on this subject based on the ideXlab platform.
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The skewness Risk Premium in equilibrium and stock return predictability
Annals of Finance, 2016Co-Authors: Hiroshi SasakiAbstract:In this study, we investigate the skewness Risk Premium in the financial market under a general equilibrium setting. Extending the long-run Risks (LRR) model proposed by Bansal and Yaron (J Financ 59:1481–1509, 2004) by introducing a stochastic jump intensity for jumps in the LRR factor and the variance of consumption growth rate, we provide an explicit representation for the skewness Risk Premium, as well as the volatility Risk Premium, in equilibrium. On the basis of the representation for the skewness Risk Premium, we propose a possible reason for the empirical facts of time-varying and negative Risk-neutral skewness. Moreover, we also provide an equity Risk Premium representation of a linear factor pricing model with the variance and skewness Risk Premiums. The empirical results imply that the skewness Risk Premium, as well as the variance Risk Premium, has superior predictive power for future aggregate stock market index returns, which are consistent with the theoretical implication derived by our model. Compared with the variance Risk Premium, the results show that the skewness Risk Premium plays an independent and essential role for predicting the market index returns.
Campbell R. Harvey - One of the best experts on this subject based on the ideXlab platform.
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The Equity Risk Premium in 2018
SSRN Electronic Journal, 2018Co-Authors: John R. Graham, Campbell R. HarveyAbstract:We analyze the history of the equity Risk Premium from surveys of U.S. Chief Financial Officers (CFOs) conducted every quarter from June 2000 to December 2017. The Risk Premium is the expected 10-year S&P 500 return relative to a 10-year U.S. Treasury bond yield. The average Risk Premium is 4.42% and is somewhat higher than the average observed over the past 18 years. We also provide results on the Risk Premium disagreement among respondents as well as asymmetry or skewness of Risk Premium estimates. We also link our Risk Premium results to survey-based measures of the weighted average cost of capital and investment hurdle rates. The hurdle rates are significantly higher than the cost of capital implied by the market Risk Premium estimates.
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The Equity Risk Premium in 2016
SSRN Electronic Journal, 2016Co-Authors: John R. Graham, Campbell R. HarveyAbstract:We analyze the history of the equity Risk Premium from surveys of U.S. Chief Financial Officers (CFOs) conducted every quarter from June 2000 to June 2016. The Risk Premium is the expected 10-year S&P 500 return relative to a 10-year U.S. Treasury bond yield. The average Risk Premium in 2016, 4.02%, is slightly higher than the average observed over the past 16 years. We also provide results on the Risk Premium disagreement among respondents as well as asymmetry or skewness of Risk Premium estimates. We also link our Risk Premium results to survey-based measures of the weighted average cost of capital and investment hurdle rates. The hurdle rates are significantly higher than the cost of capital implied by the market Risk Premium estimates.
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The Equity Risk Premium in 2015
SSRN Electronic Journal, 2015Co-Authors: John R. Graham, Campbell R. HarveyAbstract:We analyze the history of the equity Risk Premium from surveys of U.S. Chief Financial Officers (CFOs) conducted every quarter from June 2000 to March 2015. The Risk Premium is the expected 10‐year S&P 500 return relative to a 10‐year U.S. Treasury bond yield. We show that the equity Risk Premium has increased more than 50 basis points from the levels observed in 2014. The current 10‐year Risk Premium is 4.51%. Similarly, measures of Risk such as investor disagreement and perceptions of volatility have increased. Interestingly, the increased Premium and Risk are not reflected in market‐based measures of Risk, such as the VIX and credit spreads. We also link our survey results to measures survey‐based measures of the weighted average cost of capital and investment hurdle rates. The hurdle rates are significantly higher than the cost of capital implied by the market Risk Premium.
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The Equity Risk Premium in 2014
SSRN Electronic Journal, 2014Co-Authors: John R. Graham, Campbell R. HarveyAbstract:We analyze the history of the equity Risk Premium from surveys of U.S. Chief Financial Officers (CFOs) conducted every quarter from June 2000 to March 2014. The Risk Premium is the expected 10-year S&P 500 return relative to a 10-year U.S. Treasury bond yield. While the Risk Premium sharply increased during the financial crisis peaking in February 2009, the Premium has decreased to a level of 3.73% which is only slightly higher than the long-term average. However, the total market return forecast is a modest 6.43%. The survey also provides measures of cross-sectional disagreement about the Risk Premium, skewness, and a measure of individual uncertainty. Consistent with the last four quarters of surveys, CFOs see more downside Risks than upside Risks. In addition, we find that dispersion of beliefs is above the long-term average as well as individual uncertainty. We also present evidence on the determinants of the long-run Risk Premium. Our analysis suggests the level of the Risk Premium closely tracks both market volatility (reflected in the VIX index) as well as credit spreads. However, the most recent data show a divergence between VIX and the Risk Premium.
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The Equity Risk Premium in 2013
SSRN Electronic Journal, 2013Co-Authors: John R. Graham, Campbell R. HarveyAbstract:We analyze the history of the equity Risk Premium from surveys of U.S. Chief Financial Officers (CFOs) conducted every quarter from June 2000 to December 2012. The Risk Premium is the expected 10-year S&P 500 return relative to a 10-year U.S. Treasury bond yield. While the Risk Premium sharply increased during the financial crisis peaking in February 2009, the Premium has decreased to a level of 3.83% which is only slightly higher than the long-term average. However, the total market return forecast is at a historical low of 5.46%. The survey also provides measures of crosssectional disagreement about the Risk Premium, skewness, and a measure of individual uncertainty. Consistent with the last four quarters of surveys, CFOs see more downside Risks than upside Risks. In addition, w e find that dispersion of beliefs is above the long-term average as well as individual uncertainty. We also present evidence on the determinants of the long-run Risk Premium. Our analysis suggests the level of the Risk Premium closely tracks both market volatility (reflected in the VIX index) as well as credit spreads. However, the most recent data show a divergence between VIX and the Risk Premium.
Marcel Prokopczuk - One of the best experts on this subject based on the ideXlab platform.
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The Risk Premium of gold
Journal of International Money and Finance, 2019Co-Authors: Duc Binh Benno Nguyen, Marcel Prokopczuk, Chardin Wese SimenAbstract:This paper examines the properties of the gold Risk Premium. We estimate a parsimonious model for the gold Risk Premium and uncover important time variations in the dynamics of the Risk Premium. We also estimate the Risk premia of the stock and bond markets and investigate their co-movements. The results show that the co-movements of expected gold returns with expected returns of stocks and bonds are positive, while co-movements of realized returns are zero or negative on average. This results holds not only during normal market periods, but also in times of market stress. Furthermore, we find no significant co-movement of expected and realized returns of gold with inflation.
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The Risk Premium of Gold
2017Co-Authors: Duc Binh Benno Nguyen, Marcel Prokopczuk, Chardin Wese SimenAbstract:This paper examines the properties of the gold Risk Premium. We estimate a parsimonious model for the gold Risk Premium and uncover important time variations in the dynamics of the Risk Premium. We also estimate Risk premia of the stock and bond markets, and investigate the role of gold as a hedge and safe haven asset from an ex-ante point of view. The results show that gold is not expected to serve as hedge and safe haven for the bond and stock markets, but it is so realized ex-post. Further, we find that gold is neither expected to be an inflation hedge nor is it realized.
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The importance of the volatility Risk Premium for volatility forecasting
Journal of Banking and Finance, 2014Co-Authors: Marcel Prokopczuk, Chardin Wese SimenAbstract:In this paper, we study the role of the volatility Risk Premium for the forecasting performance of implied volatility. We introduce a non-parametric and parsimonious approach to adjust the model-free implied volatility for the volatility Risk Premium and implement this methodology using more than 20 years of options and futures data on three major energy markets. Using regression models and statistical loss functions, we find compelling evidence to suggest that the Risk Premium adjusted implied volatility significantly outperforms other models, including its unadjusted counterpart. Our main finding holds for different choices of volatility estimators and competing time-series models, underlying the robustness of our results.
Philip Garcia - One of the best experts on this subject based on the ideXlab platform.
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time varying Risk Premium further evidence in agricultural futures markets
Applied Economics, 2009Co-Authors: Julieta Frank, Philip GarciaAbstract:Research has provided mixed results regarding the presence of a time-varying Risk Premium in agricultural futures markets. In this article we test for the presence of a time-varying Risk Premium focusing on the properties of the underlying data. Our results show that accounting for the structural break in the 1970s plays a key role in the findings. In contrast to recent research, we find only limited evidence of time-varying Risk Premium. For a two-month horizon the corn, soybean meal and hog markets show no signs of a Risk Premium, while very weak support for a time-varying Premium emerges in live cattle. For the four-month horizon, no evidence of a time-varying Risk Premium appears for any of the markets.
