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Nonparametric tail risk, stock returns, and the macroeconomy
(Cirano, 2016)
This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price ...
Bond risk premia and the return forecasting factor
(De Gruyter, 2020-02)
The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this ...
Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia
(2015-02-12)
This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ...
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
(Oxford University Press, 2017)
The discussions focus on different aspects of the paper and are quite complementary. Dobrev and Schaumburg look closely at our implementation choices and analyse the sensitivity of the measure to these choices. Camponovo, ...
Decreasing returns, risk premium shocks, and optimal monetary policy
(Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2015)
THE CONDITIONAL RELATIONSHIP BETWEEN PORTFOLIO BETA AND RETURN: EVIDENCE FROM LATIN AMERICA
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2004)
The smoothing hypothesis, stock returns and risk in Brazil
(2011)
Income smoothing is defined as the deliberate normalization of income in order to reach a desired trend. If the smoothing causes more information to be reflected in the stock price, it is likely to improve the allocation ...
Risco versus retorno a partir de dados contábeis de empresas brasileiras: uma contribuição empírica
(1990-06-28)
Na pesquisa, que é a parte nuclear desta tese, investiga-se a relação entre risco e retorno contábeis em 10 setores econômicos brasileiros. No período 1978-87, com amostra de 344 empresas, detectou-se associação risco/retorno ...