Time-Varying Risk Premiums in the Framework of Wine Investment

2016 ◽  
Vol 11 (3) ◽  
pp. 355-378 ◽  
Author(s):  
Eric Le Fur ◽  
Hachmi Ben Ameur ◽  
Benoit Faye
Keyword(s):  
Financial Crisis ◽  
Risk Premium ◽  
Capital Asset Pricing ◽  
Conditional Heteroskedasticity ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Risk Premiums ◽  
Asset Pricing Model ◽  
Jel Classifications

AbstractThis article examines the time-varying risk premium with reference to investments in fine wines. Unlike previous studies, our article focuses on this issue within the context of the financial crisis. To do this, we propose the use of a conditional capital asset pricing model and a multivariate generalized autoregressive conditional heteroskedasticity model on several appellation wines worldwide. We find that Bordeaux fine wines were more volatile during the financial crisis and are less volatile in non-crisis periods. In addition, while the volatility of Burgundy wines is second only to Bordeaux wines, non-French fine wines (Australia, Italy, and USA) exhibit inverse volatility trends to French fine wines. (JEL Classifications: C50, G01, G11, Q13)

scholarly journals Time-Varying Market Leverage and the Market Risk Premium in New Zealand

2021 ◽  
Author(s):  
◽  
Danyi Bao
Keyword(s):  
New Zealand ◽  
Asset Pricing ◽  
Risk Premium ◽  
Market Risk ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Market Risk Premium ◽  
Asset Pricing Model

<p>This paper applies the Ibbotson and Sinquefield (1976) method and the Lally (2002) method to New Zealand data over the period 1960-2005 in order to estimate the market risk premium (MRP) in two versions of the capital asset pricing model (CAPM). With respect to the standard CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 6.11%. The resulting Lally estimate of the MRP ranged from 5.52% (in 1970) to 18.40% (in 1990), with an average of 7.95%, and was 6.40% for 2005. With respect to the simplified Brennan-Lally CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 8.49%. The resulting Lally estimate of the MRP ranged from 7.91% (in 1970) to 20.79% (in 1990), with an average of 10.33%, and was 8.78% for 2005. The Lally and the Ibbotson estimates of the MRP are similar in general. However, when market leverage is unusually high or low, they diverge significantly. In future, practitioners may need to choose between the estimates from the two methods when market leverage goes beyond the normal level.</p>

scholarly journals Time-Varying Market Leverage and the Market Risk Premium in New Zealand

2021 ◽  
Author(s):  
◽  
Danyi Bao
Keyword(s):  
New Zealand ◽  
Asset Pricing ◽  
Risk Premium ◽  
Market Risk ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Market Risk Premium ◽  
Asset Pricing Model

<p>This paper applies the Ibbotson and Sinquefield (1976) method and the Lally (2002) method to New Zealand data over the period 1960-2005 in order to estimate the market risk premium (MRP) in two versions of the capital asset pricing model (CAPM). With respect to the standard CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 6.11%. The resulting Lally estimate of the MRP ranged from 5.52% (in 1970) to 18.40% (in 1990), with an average of 7.95%, and was 6.40% for 2005. With respect to the simplified Brennan-Lally CAPM, the resulting Ibbotson estimate of the MRP for New Zealand was 8.49%. The resulting Lally estimate of the MRP ranged from 7.91% (in 1970) to 20.79% (in 1990), with an average of 10.33%, and was 8.78% for 2005. The Lally and the Ibbotson estimates of the MRP are similar in general. However, when market leverage is unusually high or low, they diverge significantly. In future, practitioners may need to choose between the estimates from the two methods when market leverage goes beyond the normal level.</p>

Paginas Amarelas

2017 ◽  
pp. 1-26
Author(s):  
Robert F. Bruner ◽  
Mario Wanderley
Keyword(s):  
Risk Premium ◽  
Cash Flows ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Rates Of Return ◽  
Asset Pricing Model ◽  
Telephone Directory ◽  
Rate Of Returns ◽  
Student Discussion

This case serves as a foundation for student discussion of the estimation of required rates of return (ROR) on investments in emerging markets. An associate in J.P. Morgan's Latin America M&A department (mergers and acquisitions) is assigned the task of valuing the telephone directory operations (“paginas amarelas” means “yellow pages”) of a large Brazilian conglomerate. All cash flows have been converted to U.S. dollars, and present values computed for various discount rates. The remaining step is to determine the appropriate target rate of returns for dollar flows originating in Argentina, Brazil, and Chile. The capital asset pricing model (CAPM) is used along with a political risk premium and country beta. The necessary figure work is comparatively light, leaving the student time to reflect on the need for various adjustments in estimating crossborder rates of return.

A Capital Asset Pricing Model with Time-Varying Covariances

1988 ◽  
Vol 96 (1) ◽  
pp. 116-131 ◽  
Author(s):  
Tim Bollerslev ◽  
Robert F. Engle ◽  
Jeffrey M. Wooldridge
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Time Varying ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model

scholarly journals Time-Varying Beta And The Subprime Financial Crisis: Evidence From U.S. Industrial Sectors

2014 ◽  
Vol 30 (5) ◽  
pp. 1465
Author(s):  
Habib Hasnaoui ◽  
Ibrahim Fatnassi
Keyword(s):  
Financial Crisis ◽  
Policy Implications ◽  
Capital Asset Pricing ◽  
Subprime Crisis ◽  
Time Varying ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Industrial Sectors ◽  
Daily Data ◽  
Portfolio Managers

<p>In the current study, we investigate the effect of the subprime financial crisis on the time-varying beta of 10 U.S. industrial sectors. We use daily data, during the period 2002 through 2014, and the bivariate BEKK-GARCH model to the conditional capital asset pricing model (CAPM) to create the time-varying betas for the 10 sectors. After controlling for local and global volatilities, the data enable us to confirm the different magnitudes of influence of the subprime crisis on the 10 industrial sectors. The results are important for investors and portfolio managers, and may have policy implications.</p>

scholarly journals Testing Capital Asset Pricing Model (CAPM) on Dhaka Stock Exchange

2021 ◽  
Author(s):  
Ataur Rahman Chowdhury
Keyword(s):  
Asset Pricing ◽  
Risk Premium ◽  
Stock Prices ◽  
Stock Exchange ◽  
Securities Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model

Abstract The study focuses on finding the validity of the capital asset pricing model (CAPM) on the Dhaka Stock Exchange (DSE) on both individual securities and portfolio levels. Using 102 securities data with the monthly stock prices for preceding five years, the outcome suggests that CAPM does not hold true for DSE, both on an individual company level and portfolio level. The securities market of Bangladesh (DSE in this case) proved inefficient as unsystematic risk premium become significant and beta cannot measure the risk component of securities investment.

scholarly journals The Analysis of the Validity of Capital Asset Pricing Model: Evidence from Pakistan Stock Exchange

2016 ◽  
Vol 2 (2) ◽  
pp. 57-68
Author(s):  
Adeel Akhtar ◽  
Muhammad Shaukat Malik ◽  
Imran Nusrat ◽  
Allah Bakhsh
Keyword(s):  
Asset Pricing ◽  
Financial Crisis ◽  
Stock Exchange ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Narrow Scope ◽  
High Flexibility

The aim of this study was to find evidence for the implementation of capital asset pricing model (CAPM) on companies listed at Pakistan StockExchange before, during and after financial crisis. The data of 50 companies were collected ranging from various sectors of Pakistan stockexchange. Data were divided into 3 different groups: year 2005-2007, 2008-2010 and 2011-2013. Regression analysis was conducted for testingthe hypotheses by taking Pakistan stock exchange 100 index as independent variable and individual stocks return as dependent variable.Three different levels of significance have been used: significance at 1%, significance at 5%, and significance at 10%. The results suggested that inPakistan different business organizations due to narrow scope of business are relatively less diversified and have relatively high flexibility ofresponding unexpected and uncertain events, influencing overall market performance. Similarly, large number of companies, specifically duringperiod of financial crisis, are affected and influenced by numerous risk factors. It was concluded that fair prices of stock cannot be determinedwith the help of CAPM in Pakistan.

Sign in / Sign up

Export Citation Format

Share Document