Term Structure of Risk Factor Premiums Used for Pricing Asset: Emerging vs. Developed Markets

González-Sánchez, Mariano . (2022) Term Structure of Risk Factor Premiums Used for Pricing Asset: Emerging vs. Developed Markets. Emerging Markets Finance and Trade Volume 58, 2022 - Issue 5

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Título Term Structure of Risk Factor Premiums Used for Pricing Asset: Emerging vs. Developed Markets
Autor(es) González-Sánchez, Mariano
Materia(s) Economía
Abstract The aim of this empirical study was to estimate and compare the term structure of risk factor premiums in developed and emerging markets. Most studies use dividend and variance swap data, but as that information is not available for all markets, we use wavelet decomposition of the observed return to calculate sensitivity to risk factors and obtain a term structure for risk factor premiums. The results show that only the market risk factor (for both types of markets) and the conservative minus aggressive factor (only for developed markets) show a term structure for risk premiums.
Palabras clave Term structure
risk premium
wavelets
multi-factorial CAPM
time-frequency decomposition
Editor(es) Routledge. Taylor & Francis Group
Fecha 2022
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0003
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0003
DOI - identifier https://doi.org/10.1080/1540496X.2021.1873128
ISSN - identifier 1339–1358
Nombre de la revista Emerging Markets Finance and Trade
Número de Volumen 58
Número de Issue 5
Página inicial 1339
Página final 1358
Publicado en la Revista Emerging Markets Finance and Trade Volume 58, 2022 - Issue 5
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The registered version of this article, first published in Emerging Markets Finance and Trade, is available online at the publisher's website: Taylor & Francis, https://doi.org/10.1080/1540496X.2021.1873128
Notas adicionales La versión registrada de este artículo, publicado por primera vez en Emerging Markets Finance and Trade, está disponible en línea en el sitio web del editor: Taylor & Francis, https://doi.org/10.1080/1540496X.2021.1873128

 
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Creado: Fri, 12 Jan 2024, 20:58:37 CET