Equity Premium Risk
Mostrando 1-12 de 15 artigos, teses e dissertações.
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1. MULTI-AGENT BASED MODELING APPLIED TO PORTFOLIO SELECTION IN THE DOOM-LOOP OF SOVEREIGN DEBT CONTEXT*
ABSTRACT This study explores the self-fulfilling dynamic between sovereign debt risk and rational choices of neutral, risk-seeking and risk-averse investors, with implications to the systemic risk emergence. The agent-based model parameterization includes investment strategy (randomly selected assets, stock exchange participation, economic segment, and techn
Pesqui. Oper.. Publicado em: 09/05/2019
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2. Are Country and Size Risks Priced in the Brazilian Stock Market?
Abstract When estimating a firm's cost of equity for valuation and other purposes in emerging markets without (or with only partial) capital market integration, many practitioners include a premium for country risk. In principle, the inclusion of such a risk factor would be justified if the particular country of interest was not sufficiently integrated into
BAR, Braz. Adm. Rev.. Publicado em: 20/04/2017
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3. The Forward- and the Equity-Premium Puzzles: Two Symptoms of the Same Illness?
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 a
Escola de Pós-Graduação em Economia da FGV. Publicado em: 24/04/2012
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4. Testando o comportamento otimizador das decisões de consumo para o Brasil
Este trabalho testa qual percentual da população brasileira consome uma proporção fixa da renda corrente, no ambiente do Modelo para Precificação de Ativos baseado no Consumo (CCAPM), para três classes distintas de preferências. Além disso, testa a existência do Equity Premium Puzzle e do Risk-Free Rate Puzzle. Para as funções de utilidade do tip
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 16/03/2012
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5. The equity premium puzzle: analysis in Brazil after the real plan
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
BAR, Braz. Adm. Rev.. Publicado em: 13/11/2012
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6. Can a habit formation model really explain the Forward Premium Anomaly?
Verdelhan (2009) shows that if one is to explain the foreign ex- change forward premium behavior using Campbell and Cochrane (1999) s habit formation model one must specify it in such a way to generate pro-cyclical short term risk free rates. At the calibration procedure, we show that this is only possible in Campbell and Cochrane s frame- work under implaus
Publicado em: 07/08/2009
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7. Can a Habit Formation Model really explain the forward premium anomaly?
Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)'s habit formation model one must specify it in such a way to generate pro-cyclical short term risk free rates. At the calibration procedure, we show that this is only possible in Campbell and Cochrane's framework under implausible
Publicado em: 12/05/2009
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8. Estimativa do prêmio pelo risco país com a aplicação do modelo AEG / Brazilian country risk premium estimation applying the AEG valuation model
The increasing economic integration and capital mobility among countries lead investors to be more exposed to external risks. That grants relevance to the discussion on how to consider, in the cost of equitys estimation, premiums for additional risks of businesses performed in emergent markets. The existence of an additional risk in these markets is relative
Publicado em: 2008
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9. Utilidades em Se os paradoxos do mercado financeiro / S-shaped utilities and the puzzles of the financial markets
Four S-shaped utility functions are tested - gamma, logistic, Cauchy and modified Cauchy - on Lucas asset pricing model with American market time series. Establishing a parameter that follows the level of the per capita consumption, it is shown that all of them solve the so called risk free puzzle. The gamma utility and the modified Cauchy are the ones with
Publicado em: 2007
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10. Fator de desconto estocástico no mercado acionário brasileiro
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 des
Estudos Econômicos (São Paulo). Publicado em: 2006-09
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11. ANÁLISE E AVALIAÇÃO DO EQUITY PREMIUM PUZZLE NO MERCADO ACIONÁRIO BRASILEIRO SOB DIFERENTES CONTEXTOS ECONÔMICOS / ANALYSIS AND VALUATION OF EQUITY PREMIUM PUZZLE IN THE BRAZILIAN STOCK MARKETS UNDER DIFFERENT ECONOMIC CONTEXTS
The Equity Premium Puzzle has been very studied in the world since 1985, year of the publication of the work of Mehra and Prescott. The intention of this dissertation was to make an analysis and valuation of the Equity Premium Puzzle being used different contexts lived in the Brazilian economy in the period of 1990 up to 2005. It was used the representative
Publicado em: 2006
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12. Cost of equity determination in emerging markets / Determinação do custo do capital próprio em mercados emergentes
The objective of this paper is to investigate if the Brazilian stock market is partially or totally integrated to other emerging markets. In order to do so, we tested if the following CAPM models are adequate to price stocks: local CAPM, integrated or partially integrated. Our sample includes only the more liquidity stocks of companies with ADR, because thes
Publicado em: 2006