Sökning: "Risk Premia"

Visar resultat 11 - 15 av 36 uppsatser innehållade orden Risk Premia.

1. 11. Good and Bad Macroeconomic Uncertainty: Implications for Bond Risk Premia

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Philip Hamnå; Federico Valenza; [2017]
   Nyckelord :Macroeconomic uncertainty; Bond risk premia; Countercyclical; Semi-variance;

   Sammanfattning : This paper explores the predictive power of macroeconomic uncertainty on bond risk premia. We decompose quarterly survey data into good and bad uncertainty components by estimating positive and negative semi-variances. Building on theoretical evidence, these uncertainties are assumed to feed into future positive and negative shocks to consumption. LÄS MER

3. 12. Constructing a Volatility Risk Premium Using Gaussian Process for Regression

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Fabian Mally; Love Marcus; [2017]
   Nyckelord :Volatility Risk Premium; Gaussian Process; GARCH; Volatility Prediction; Implied Volatility;

   Sammanfattning : In this thesis we investigate the volatility risk premium (VRP) on OMXS30 and S&P 500 and the predictive capabilities of Gaussian Process for regression (GP) on the volatility of those indices. The results are evaluated by comparison with corresponding predictions of a few methods from the GARCH family as well as a naive approach. LÄS MER

4. 13. The role of state ownership on acquisition premia: Do Chinese enterprises pay systematically higher acquisition premia?

   Magister-uppsats, Lunds universitet/Ekonomisk-historiska institutionen

   Författare :Stefanie Jäsche; [2017]
   Nyckelord :Key words: Mergers; Acquisitions; Acquisition Premium; China; SOE; Business and Economics;

   Sammanfattning : Usually, high acquisition premia are considered to be a proxy for aggressive management style, extremely risk-taking behavior and poor managerial decision making and ultimately failure. In the case of China, it is questionable if this assumption can hold true. LÄS MER

5. 14. A Floating Currency Macro Term Structure Model

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Niklas Lindeke; [2017]
   Nyckelord :Macro-finance; term structure models; exchange rate risks; Business and Economics;

   Sammanfattning : During the last decade there has been many advances in the field of research focusing on term structure models that include macroeconomic risks. The fact that such risks adds to the predictive power of risk premia is evident. LÄS MER

7. 15. The Impact of Demographic and Socioeconomic Factors on Municipal Bond Coupon Rates

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Dimitri Yakupov; Karl Bokvist; [2016]
   Nyckelord :Municipal bonds; Demographic factors; Socioeconomic factors; Cost of debt; U.S. counties;

   Sammanfattning : This thesis aims to understand and explain if and how demographic and socioeconomic factors affect the cost of debt for local governments, namely U.S. counties when issuing municipal bonds. By first discussing potential factors that may prove significant to financial performance, correlation analysis and model testing are made. LÄS MER