Página 1 dos resultados de 292 itens digitais encontrados em 0.003 segundos

The forward- and the equity-premium puzzles: two symptoms of the same illness?

Costa, Carlos E. da; Issler, João Victor; Matos, Paulo F.
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
Relevância na Pesquisa
58.31871%
Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)’s foreign currency portfolios. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The Forward- and the Equity-Premium Puzzles: Two Symptoms of the Same Illness?

Costa, Carlos Eugênio da; Issler, João Victor; Matos, Paulo F.
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
Relevância na Pesquisa
58.31871%
Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by comparing this out-of-sample results with the one obtained performing an in-sample exercise, where the return-based SDF captures sources of risk of a representative set of developed and emerging economies government bonds. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The Forward- and the Equity-Premium Puzzles: A Straightforward Test of Whether They Are Two Symptoms of the Same Illness

Costa, Carlos Eugênio da; Issler, João Victor; Matos, Paulo F.
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
Relevância na Pesquisa
58.51129%
We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

A Note on the Forward- and the Equity-Premium Puzzles: Two Symptoms of the Same Illness?

Costa, Carlos E. da; Issler, João Victor; Matos, Paulo F.
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
Relevância na Pesquisa
58.51129%
We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

The forward and the equity premium puzzles: two symptoms of the same illness?

Costa, Carlos Eugênio da
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
Relevância na Pesquisa
58.675513%
The Forward Premium Puzzle (FPP) is how the empirical observation of a negative relation between future changes in the spot rates and the forward premium is known. Modeling this forward bias as a risk premium and under weak assumptions on the behavior of the pricing kernel, we characterize the potential bias that is present in the regressions where the FPP is observed and we identify the necessary and sufficient conditions that the pricing kernel has to satisfy to account for the predictability of exchange rate movements. Next, we estimate the pricing kernel applying two methods: i) one, du.e to Araújo et aI. (2005), that exploits the fact that the pricing kernel is a serial correlation common feature of asset prices, and ii) a traditional principal component analysis used as a procedure 1;0 generate a statistical factor modeI. Then, using on the sample and out of the sample exercises, we are able to show that the same kernel that explains the Equity Premi um Puzzle (EPP) accounts for the FPP in all our data sets. This suggests that the quest for an economic mo deI that generates a pricing kernel which solves the EPP may double its prize by simultaneously accounting for the FPP.

Do equity and foreign currency risk premiums display common patterns?

Matos, Paulo Rogerio Faustino
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
58.370527%
In da Costa et al. (2006) we have shown how a same pricing kernel can account for the excess returns of the S&:P500 over the US short term bond and of the uncovered over the covered trading of foreign government bonds. In this paper we estimate and test the overidentifying restrictiom; of Euler equations associated with "ix different versions of the Consumption Capital Asset Pricing IIodel. Our main finding is that the same (however often unreasonable) values for the parameters are estimated for ali models in both nmrkets. In most cases, the rejections or otherwise of overidentifying restrictions occurs for the two markets, suggesting that success and failure stories for the equity premium repeat themselves in foreign exchange markets. Our results corroborate the findings in da Costa et al. (2006) that indicate a strong similarity between the behavior of excess returns in the two markets when modeled as risk premiums, providing empirical grounds to believe that the proposed preference-based solutions to puzzles in domestic financiaI markets can certainly shed light on the Forward Premium Puzzle.

Term and equity premium in economies with habit formation

Budría, Santiago; Díaz, Antonia
Fonte: CEEAplA Publicador: CEEAplA
Tipo: Trabalho em Andamento
Publicado em /07/2006 Português
Relevância na Pesquisa
69.16949%
In this paper we investigate the size of the risk premium and the term premium in a representative agent exchange model economy where households preferences are subject to habit formation. As a novel feature, we develop theoretical measures for risk premium and term premium that can be used even when the consumption growth process is serially autocorrelated. We find that habit formation increases risk aversion significantly but increases much more the aversion to variations of consumption across dates. This induces a substantial increase in the precautionary demand of short term assets and a significant fall in the precautionary demand of long term assets. As a result, the term premium increases substantially with habit formation. Next we calibrate our model economy and examine the quantitative predictions of our theoretical measures of equity premium, risk premium and term premium. In line with previous literature, we show that it is possible to find a reasonable calibration for which the equity premium is that observed in the data. However, we find that around 70 percent of the equity premium is just term premium. That is, a very large fraction of the increase in the equity premium is due to the asymmetric effect that habit formation has on the precautionary demand of an asset depending on its maturity.

Equity-premium puzzle: evidence from Brazilian data

Cysne,Rubens Penha
Fonte: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo Publicador: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2006 Português
Relevância na Pesquisa
68.629795%
This paper uses 1992:1-2004:2 quarterly data and two different methods (approximation under lognormality and calibration) to evaluate the existence of an equity-premium puzzle in Brazil. In contrast with some previous works in the Brazilian literature, I conclude that the model used by Mehra and Prescott (1985), either with additive or recursive preferences, is not able to satisfactorily rationalize the equity premium observed in the Brazilian data. The second contribution of the paper is calling the attention to the fact that the utility function calculated under the discrete-state approximation may not exist if the data (as it is the case with Brazilian time series) implies the existence of states in which high negative rates of consumption growth are attained with relatively high probability. This fact is particularly important when the researcher tries to work with high risk-aversion parameters in order to generate high risk premia.

The Equity Premium Puzzle: Explanations and Implications

Grant, Simon; Quiggin, John
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 1386345 bytes; application/pdf
Português
Relevância na Pesquisa
68.93228%
Analysis of the equity premium puzzle has focused on private sector capital markets. The object of this paper is to consider the welfare and policy implications of each of the broad classes of explanations of the equity and premium puzzle. As would be expected, the greater the deviation from the first-best outcome implied by a given explanation of the equity premium puzzle, the more interventionist are the implied policy conclusions. Nevertheless, even explanations of the equity premium puzzle consistent with a general consumption-based asset pricing model have important welfare and policy implications.; no

Term premium and equity premium in economies with habit formation

Budria, Santiago; Díaz, Antonia
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /09/2006 Português
Relevância na Pesquisa
49.099023%
In this paper we investigate the size of the risk premium and the term premium in an representative agent exchange model economy where households preferences are subject to habit formation. As a novel feature, we develop theoretical measures for risk premium and term premium that can be used even when the consumption growth process is serially autocorrelated. We find that habit formation increases risk aversion significantly but increases much more the aversion to variations of consumption across dates. This induces a substantial increase in the precautionary demand of short term assets and a significant fall in the precautionary demand of long term assets. As a result, the term premium increases substantially with habit formation. Next we calibrate our model economy and examine the quantitative predictions of our theoretical measures of equity premium, risk premium and term premium. In line with previous literature, we show that it is possible to find a reasonable calibration for which the equity premium is that observed in the data. However, we find that around 70 percent of the equity premium is just term premium. That is, a very large fraction of the increase in the equity premium is due to the asymmetric effect that habit formation has on the precautionary demand of an asset depending on its maturity.

Risk premium, variance premium and the maturity structure of uncertainty

Feunou, Bruno; Fontaine, Jean-Sébastien; Taamouti, Abderrahim; Tédongap, Roméo
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /11/2011 Português
Relevância na Pesquisa
58.869595%
Theoretical risk factors underlying time-variations of risk premium across asset classes are typically unobservable or hard to measure by construction. Important examples include risk factors in Long Run Risk [LRR] structural models (Bansal and Yaron 2004) as well as stochastic volatility or jump intensities in reduced-form affine representations of stock returns (Duffie, Pan, and Singleton 2000). Still, we show that both classes of models predict that the term structure of risk-neutral variance should reveal these risk factors. Empirically, we use model-free measures and construct the ex-ante variance term structure from option prices. This reveals (spans) two risk factors that predict the bond premium and the equity premium, jointly. Moreover, we find that the same risk factors also predict the variance premium. This important contribution is consistent with theory and confirms that a small number of factors underlies common time-variations in the bond premium, the equity premium and the variance premium. Theory predicts that the term structure of higher-order risks can reveal the same factors. This is confirmed in the data. Strikingly, combining the information from the variance, skewness and kurtosis term structure can be summarized by two risk factors and yields similar level of predictability (i.e....

The Forward- and the Equity-Premium Puzzles: Two Symptoms of the Same Illness?

Costa, Carlos Eugênio da; Issler, João Victor; Matos, Paulo F.
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
58.31871%
We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)'s foreign currency portfolios. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The equity premium puzzle: analysis in Brazil after the real plan

Gomes,Fábio Augusto Reis; Costa,Luciana de Andrade; Pupo,Ruth Carolina Rocha
Fonte: ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração Publicador: ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2013 Português
Relevância na Pesquisa
68.629795%
Our paper investigates whether there is evidence of an Equity Premium Puzzle (EPP) in Brazil, applying two different methodologies. The EPP was identified by Mehra and Prescott (1985) since the Consumption Capital Asset Pricing Model (CCAPM), when calibrated with reasonable preference parameters, could not explain high historical average risk premiums in the United States. In our first approach, we consider Mehra's (2003) model and calibrate the coefficient of risk aversion, using 1995:2-2012:1 quarterly data. The Ibovespa index was used as a measure of the market return, whereas the risk-free rate was proxied by the Selic interbank rate and by the savings account rate. In our second approach, we propose a new method to test the puzzle. We jointly estimate, via generalized method of moments, the parameters of interest using a moment condition that has not been previously explored, as far as we are aware of. The two approaches produced a high risk aversion coefficient, however the second approach indicated that we cannot reject the hypothesis of the risk aversion coefficient being statistically equal to zero. A possible explanation for this result might be that in Brazil the equity premium is not statistically different from zero. Therefore there is no evidence of EPP in Brazil for the studied period.

Quantitative Structuring vs the Equity Premium Puzzle

Soklakov, Andrei N.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
48.629795%
Quantitative Structuring is a rational framework for manufacturing financial products. It shares many of its components with mainstream economics. The Equity Premium Puzzle is a well known quantitative challenge which has been defying mainstream economics for the last 30 years. Does Quantitative Structuring face a similar challenge? We find Quantitative Structuring to be in remarkable harmony with the observed equity premium. Observed values for the equity premium (both expected and realized) appear to be a real and transparent phenomenon which should persist for as long as equities continue to make sense as an investment asset. Encouraged by this finding, we suggest a certain modification of mainstream economics.; Comment: 14 pages, 4 figures

Fator de desconto estocástico no mercado acionário brasileiro

Catalão, André Borges; Yoshino, Joe Akira
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Formato: application/pdf
Publicado em 01/09/2006 Português
Relevância na Pesquisa
49.205186%
This article implements the minimum variance frontier for the stochastic discount factor, according to both Hansen and Jagannathan (1991) and Cochrane and Hansen (1992), for the Brazilian stock market. Two approaches are considered in terms of equity returns and equity premium, respectively, the Equity Premium Puzzle and the Low Interest Rate Puzzle. Furthermore, we apply also the econometric test of Burnside (1994) in these approaches. The criteria based on equity return results in an invalid discount factor. On the other hand, the approach using the equity premium, according to Cochrane and Hansen (1992), does not reject the discount factor. Thus, we do not corroborate these two puzzles for the Brazilian equity market. In fact, the equity premium puzzle has to satisfy both criterias above. Thus, in these sense this puzzle does not happen in the Brazilian stock market.; Este trabalho implementa as fronteiras de variância mínima para o fator de desconto estocástico, conforme Hansen e Jagannathan (1991) e Cochrane e Hansen (1992), no mercado acionário brasileiro. São consideradas duas abordagens em termos dos retornos das ações e dos prêmios das ações: o Equity Premium Puzzle e o Low Interest Rate Puzzle em face destas metodologias. Adicionalmente...

Equity-premium puzzle: evidence from Brazilian data

Cysne, Rubens Penha
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 01/06/2006 Português
Relevância na Pesquisa
68.93228%
Este trabalho usa dados brasileiros do período 1992:1-2004:2 e dois diferentes métodos (aproximação sob a hipótese de lognormalidade e calibração) para avaliar a existência de um "equity-premium puzzle" no Brasil. Em contraste com alguns trabalhos prévios da literatura nacional, conclui-se que o modelo usado por Mehra and Prescott (1985), seja com preferências aditivas ou recursivas, não é capaz de gerar o prêmio de risco observado na economia brasileira. A segunda contribuição do trabalho é chamar a atenção para o fato de que a função utilidade calculada sob a hipótese de aproximação discreta do espaço de estados pode não existir se os dados (como é o caso no Brasil) implicarem a existência de estados nos quais taxas altamente negativas de crescimento do consumo são alcançadas com probabilidade demasiado elevadas. Este fato é particularmente importante quando se tenta utilizar parâmetros de aversão ao risco altos o suficiente para gerar o prêmio de risco inerente ao caso brasileiro.; This paper uses 1992:1-2004:2 quarterly data and two different methods (approximation under lognormality and calibration) to evaluate the existence of an equity-premium puzzle in Brazil. In contrast with some previous works in the Brazilian literature...

Essays in Financial Economics

Li, Kai
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2013 Português
Relevância na Pesquisa
48.88684%

My dissertation, consisting of three related essays, aims to understand the role of macroeconomic risks in the stock and bond markets. In the first chapter, I build a financial intermediary sector with a leverage constraint a la Gertler and Kiyotaki (2010) into an endowment economy with an independently and identically distributed consumption growth process and recursive preferences. I use a global method to solve the model, and show that accounting for occasionally binding constraint is important for quantifying the asset pricing implications. Quantitatively, the model generates a procyclical and persistent variation of price-dividend ratio, and a high and countercyclical equity premium. As a distinct prediction from the model, in the credit crunch, high TED spread, due to a liquidity premium, coincides with low stock price and high stock market volatility, a pattern I confirm in the data.

In the second chapter, which is coauthored with Hengjie Ai and Mariano Croce, we model investment options as intangible capital in a production economy in which younger vintages of assets in place have lower exposure to aggregate productivity risk. In equilibrium, physical capital requires a substantially higher expected return than intangible capital. Quantitatively...

Public Investment and the Risk Premium for Equity

Grant, Simon; Quiggin, John
Fonte: Blackwell Publishing Ltd Publicador: Blackwell Publishing Ltd
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
48.489033%
Analysis of the equity premium puzzle has focused on private-sector capital markets. However, the existence of an anomalous equity premium raises important issues in the evaluation of public-sector investment projects. These issues are explored below. We

CCAPM e o equity premium puzzle no Brasil : evidências empírias no período 1975-2013

Dias, Flávio
Fonte: Universidade Federal do Paraná Publicador: Universidade Federal do Paraná
Tipo: Dissertação Formato: 41 p. : il.; application/pdf
Português
Relevância na Pesquisa
49.02819%
Orientadora : Prof. Dr. Armando Vaz Sampaio; Dissertação (mestrado) - Universidade Federal do Paraná, Setor de Ciencias Sociais Aplicadas, Programa de Pós-Graduação em Desenvolvimento Ecônomico. Defesa : Curitiba, 28/03/2014; Inclui referências : f. 24-26; Resumo: A partir das implicações teóricas do CCAPM com função de utilidade da classe CRRA, utilizamos o GMM para estimar o fator de desconto subjetivo e o coeficiente de aversão relativa ao risco do consumidor/investidor brasileiro. Adicionalmente, buscamos por evidências do Equity Premium Puzzle. Uma vez que o GMM é um framework geral de estimação e o CCAPM pode ser utilizado para gerar inúmeras condições de ortogonalidade, para cada uma das amostras (frequência mensal, trimestral e anual), estimamos 192 especificações. Nossos resultados apresentam evidências de que não há Equity Premium Puzzle na economia brasileira. Palavras Chave: CCAPM; GMM; Equity Premium Puzzle.; Abstract: Using the theoretical implications of the CCAPM to generate orthogonality conditions for GMM procedure, we estimate the subjective discount factor and coefficient of relative risk aversion of the consumer/investor in Brazil. Additionally, we adress the Equity Premium Puzzle. As the GMM is a general and flexible framework for estimation and CCAPM models can be used to generate numerous orthogonality conditions...

Using equity premium survey data to estimate future wealth

Freeman, Mark C.; Groom, Ben
Fonte: Springer Publicador: Springer
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em 20/04/2014 Português
Relevância na Pesquisa
48.489033%
We present the first systematic methods for combining different experts’ responses to equity premium surveys. These techniques are based on the observation that the survey data are approximately gamma distributed. This distribution has convenient analytical properties that enable us to address three important problems that investment managers must face. First, we construct probability density functions for the future values of equity index tracker funds. Second, we calculate unbiased and minimum least square error estimators of the future value of these funds. Third, we derive optimal asset allocation weights between equities and the risk-free asset for risk-averse investors. Our analysis allows for both herding and biasedness in expert responses. We show that, unless investors are highly uncertain about expert biases or forecasts are very highly correlated, many investment decisions can be based solely on the mean of the survey data minus any expected bias. We also make recommendations for the design of future equity premium surveys.