Time Varying Market Interest Rate And Exchange Rate Risk Premia In The U S Commercial Bank Stock Returns
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Time Varying Market Interest Rate And Exchange Rate Risk Premia In The U S Commercial Bank Stock Returns
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Author : Chu-Sheng Tai
language : en
Publisher:
Release Date : 2001
Time Varying Market Interest Rate And Exchange Rate Risk Premia In The U S Commercial Bank Stock Returns written by Chu-Sheng Tai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
This paper examines the role of market, interest rate, and exchange rate risks in pricing a sample of the U.S. commercial bank stocks by developing and estimating a multi-factor model under both unconditional and conditional frameworks. Three different econometric methodologies are used to conduct the estimations and testing. Estimations based on NLSUR via GMM indicate that interest rate risk is the only priced factor in the unconditional three-factor model. However, based on quot;Pricing Kernelquot; approach by Dumas and Solnik (Journal of Finance 50, 1995, 445-479), strong evidence of exchange rate risk is found in both large bank and regional bank stocks, and strong evidence of world market risk is found for the regional bank stocks in the conditional three-factor model with time-varying risk prices. Finally, estimations based on the multivariate GARCH in mean approach where both conditional first and second moments of bank portfolio returns and risk factors are estimated simultaneously show strong evidence of time-varying interest rate and exchange rate risk premia and weak evidence of time-varying market risk premium for all bank portfolios. Furthermore, among the three time-varying risk premia, the interest rate risk premium is the major one in describing the dynamics of the U.S. bank stock returns.
Interest Rates And Risk Premia In The Stock Market And In The Foreign Exchange Market
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Author : Alberto Giovannini
language : en
Publisher:
Release Date : 1986
Interest Rates And Risk Premia In The Stock Market And In The Foreign Exchange Market written by Alberto Giovannini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Capital assets pricing model categories.
The Time Variation Of Risk And Return In The Foreign Exchange And Stock Markets
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Author : Alberto Giovannini
language : en
Publisher:
Release Date : 1988
The Time Variation Of Risk And Return In The Foreign Exchange And Stock Markets written by Alberto Giovannini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Business enterprises categories.
Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent with the Sharpe-Lintner-Mossin capital-asset-pricing model. We test the mean-variance model under several different assumptions about the time-variation of conditional second moments of returns, using weekly data from July 1974 to December 1986, that include returns on a portfolio composed of dollar, Deutsche mark, Sterling, and Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time-varying conditional covariance matrix of the residuals of the expected returns equations. The results indicate that estimated conditional variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are always rejected.
Jump Risk Time Varying Risk Premia And Technical Trading Profits
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Author : Chenyang Feng
language : en
Publisher:
Release Date : 1997
Jump Risk Time Varying Risk Premia And Technical Trading Profits written by Chenyang Feng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Stocks categories.
Impact Of Time Varying Interest Rate And Exchange Rate Risk On Bank Stock Returns
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Author : Sunday Azagba
language : sv
Publisher:
Release Date : 2005
Impact Of Time Varying Interest Rate And Exchange Rate Risk On Bank Stock Returns written by Sunday Azagba and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Essays On Return Predictability In Financial Markets
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Author : Chan R. Mang
language : en
Publisher:
Release Date : 2012
Essays On Return Predictability In Financial Markets written by Chan R. Mang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
My thesis examines return predictability in government bond markets and currency markets. In Chapter 1, I take the term structure model in Cochrane and Piazzesi (2008) and construct currency market prices. The implied currency market prices are then counterfactually volatile and predictable, at least with respect to commonly used predictor variables. Getting the model closer to currency market data means reducing bond risk compensation but doing so nearly eliminates predictability in bond markets. One way to generate sensible time-variation in bond and currency risk-premia allows the volatility of returns to be time-varying. In Chapter 2, I test if alternative forecast rules perform better than the return-forecasting factor of Cochrane and Piazzesi (2008). I compare forecasts assuming all historical data is available to recursively made ones that are revised with the arrival of news. Differences in the two forecast rules systematically move with realized bond risk-premia and forecast mean yield curve levels and short-term interest rates one year ahead not just for the U.S., but also for government bond markets of other industrialized economies. I show that lower long-term rates relative to short-rates in 2004-2005 is consistent with an expected a decline of interest rates by market participants. In Chapter 3, I show that the cross-sectional average spread in the return-forecasting factor of Cochrane and Piazzesi (2005, 2008) can forecast currency risk-premia. However, the return-forecasting factor spread consistent with real-time data does not forecast currency risk-premia. I also find that both currency risk-premia and exchange rate changes have a predictable component that is detected by the information gap, what I call the hidden FX market factor, between forecasts that take as given the full sample of data and those consistent with real-time availability. Controlling for large and transitory exchange rate changes using this information gap make interest rate differentials between the average foreign country and the U.S. positively correlated with dollar appreciation rates, delivering the right sign predicted by uncovered interest parity.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Sources Of Time Varying Risk And Risk Premia In U S Stock And Bond Markets
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Author : Bala Arshanapalli
language : en
Publisher:
Release Date : 2003
Sources Of Time Varying Risk And Risk Premia In U S Stock And Bond Markets written by Bala Arshanapalli and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
This paper investigates the sources of time-varying risk and risk premia for both the U.S. stock and bond markets. Although a growing literature has emerged that examines the return and volatility characteristics of the U.S. stock and bond markets separately, little work has appeared that models these markets jointly. This paper proposes a model that provides evidence concerning the sources of time varying risk and risk premia in the markets that considers both markets simultaneously. The model captures the change in the risk premium to each market's own volatility risk as well as to the covariance risk for specific events. We test for the effects of macroeconomic news on time-varying volatility as well as time-varying covariance, and whether such news induces time-varying risk premia in either of the markets. We find that stocks, as opposed to bonds exhibit a change in the risk premium on variance risk on PPI announcement dates. There is also evidence of a change in the bond risk premium on covariance risk on macroeconomic news announcement dates. Employment reports and PPI releases appear as events inducing time-varying conditional variance for stock, Treasury Notes, as well as Treasury Bond returns. Finally, the results do not support the conjecture that conditional covariance of stock and bond returns falls on announcement days.
Time Varying Market Interest Rate And Exchange Rate Risk In Australian Bank Portfolio Stock Returns
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Author : Suzanne K. Ryan
language : en
Publisher:
Release Date : 2002
Time Varying Market Interest Rate And Exchange Rate Risk In Australian Bank Portfolio Stock Returns written by Suzanne K. Ryan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Bank stocks categories.
Time Varying Risk Premia And The Cross Section Of Stock Returns
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Author : Hui Guo
language : en
Publisher:
Release Date : 2002
Time Varying Risk Premia And The Cross Section Of Stock Returns written by Hui Guo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Stocks categories.