Multistage investment, systematic risk premium and CAPM beta: empirical evidence from product development

2012 ◽  
Vol 22 (10) ◽  
pp. 777-790
Author(s):  
Zaur Rzakhanov
Keyword(s):  
Product Development ◽  
Empirical Evidence ◽  
Risk Premium ◽  
Systematic Risk ◽  
Capm Beta

scholarly journals Skewness risk premium: Theory and empirical evidence

2019 ◽  
Vol 63 ◽  
pp. 174-185 ◽  
Author(s):  
Yuehao Lin ◽  
Thorsten Lehnert ◽  
Christian Wolff
Keyword(s):  
Empirical Evidence ◽  
Risk Premium

Default Risk and the Effects of Fiscal Policy on Interest Rates: 1929–1945

1988 ◽  
Vol 16 (3) ◽  
pp. 357-373
Author(s):  
David Bowles ◽  
Holley Ulbrich ◽  
Myles Wallace
Keyword(s):  
Fiscal Policy ◽  
Interest Rates ◽  
Empirical Evidence ◽  
Risk Premium ◽  
Default Risk ◽  
Corporate Bonds ◽  
Private Investment ◽  
Crowding Out ◽  
Government Bonds ◽  
Macroeconomic Models

Conventional macroeconomic models suggest that expansionary fiscal policy causes higher interest rates, resulting in crowding out of private investment. In this article, we argue that such models ignore the default risk differential between the interest rates on government bonds and corporate bonds. If expansionary fiscal policy causes an expansion in real GNP, default risk falls on corporate bonds. Our model suggests that if the default risk premium falls, (1) corporate interest rates may fall relative to rates on government bonds and (2) private investment is crowded in. We find some supporting empirical evidence of this effect for the period 1929–1945.

Industry Tax Planning and Stock Returns

2019 ◽  
Vol 94 (5) ◽  
pp. 219-246 ◽  
Author(s):  
Shane M. Heitzman ◽  
Maria Ogneva
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Systematic Risk ◽  
Tax Planning ◽  
Equity Returns ◽  
Firm Level ◽  
Industry Level ◽  
Planning Strategies

ABSTRACT We find evidence that equity returns increase with the propensity for tax planning in a firm's industry. This risk premium is imposed on all firms in the industry, even those that are less aggressive than their peers. The industry-based risk premium coexists with a firm-specific discount associated with active tax planning strategies that carry low systematic risk. The discount on tax planning at the firm level, however, is dwarfed by the premium on tax planning at the industry level, and is concentrated in industries that are less likely to attract scrutiny from the tax authority.

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