Presidential Address: How Much “Rationality” is There In Bond‐Market Risk Premiums?

2021 ◽  
Author(s):  
KENNETH J. SINGLETON
Keyword(s):  
Presidential Address ◽  
Market Risk ◽  
Bond Market ◽  
Risk Premiums

Emerging Market Risk Premiums

CFA Magazine ◽  
2005 ◽  
Vol 16 (2) ◽  
pp. 38-39
Author(s):  
Cynthia Harrington
Keyword(s):  
Emerging Market ◽  
Market Risk ◽  
Risk Premiums

scholarly journals Sovereign risk premiums in the European government bond market

2012 ◽  
Vol 31 (5) ◽  
pp. 975-995 ◽  
Author(s):  
Kerstin Bernoth ◽  
Jürgen von Hagen ◽  
Ludger Schuknecht
Keyword(s):  
Bond Market ◽  
Government Bond ◽  
Sovereign Risk ◽  
Risk Premiums

Linear Beta Pricing with Inefficient Benchmarks

2013 ◽  
Vol 03 (01) ◽  
pp. 1350004 ◽  
Author(s):  
George Diacogiannis ◽  
David Feldman
Keyword(s):  
Asset Pricing ◽  
Market Risk ◽  
Expected Returns ◽  
Pricing Model ◽  
Pricing Models ◽  
Expected Return ◽  
Risk Premiums ◽  
Asset Pricing Models ◽  
Current Asset ◽  
Mean Variance

Current asset pricing models require mean-variance efficient benchmarks, which are generally unavailable because of partial securitization and free float restrictions. We provide a pricing model that uses inefficient benchmarks, a two-beta model, one induced by the benchmark and one adjusting for its inefficiency. While efficient benchmarks induce zero-beta portfolios of the same expected return, any inefficient benchmark induces infinitely many zero-beta portfolios at all expected returns. These make market risk premiums empirically unidentifiable and explain empirically found dead betas and negative market risk premiums. We characterize other misspecifications that arise when using inefficient benchmarks with models that require efficient ones. We provide a space geometry description and analysis of the specifications and misspecifications. We enhance Roll (1980), Roll and Ross's (1994), and Kandel and Stambaugh's (1995) results by offering a "Two Fund Theorem," and by showing the existence of strict theoretical "zero relations" everywhere inside the portfolio frontier.

scholarly journals The implications of first-order risk aversion for asset market risk premiums

1997 ◽  
Vol 40 (1) ◽  
pp. 3-39 ◽  
Author(s):  
Geert Bekaert ◽  
Robert J. Hodrick ◽  
David A. Marshall
Keyword(s):  
Risk Aversion ◽  
Market Risk ◽  
Asset Market ◽  
Risk Premiums ◽  
First Order

On commodity market risk premiums: Additional evidence

1985 ◽  
Vol 5 (1) ◽  
pp. 121-125 ◽  
Author(s):  
Jennefer Baxter ◽  
Thomas E. Conine ◽  
Maurry Tamarkin
Keyword(s):  
Market Risk ◽  
Commodity Market ◽  
Risk Premiums

scholarly journals Government risk premiums in the bond market: EMU and Canada

2009 ◽  
Vol 25 (3) ◽  
pp. 371-384 ◽  
Author(s):  
Ludger Schuknecht ◽  
Jürgen von Hagen ◽  
Guido Wolswijk
Keyword(s):  
Bond Market ◽  
Risk Premiums

Security design, market risk and round quotes in the treasury bond market

2018 ◽  
Vol 26 (12) ◽  
pp. 971-977
Author(s):  
Andrei Nikiforov ◽  
Eugene Pilotte
Keyword(s):  
Market Risk ◽  
Bond Market ◽  
Security Design ◽  
Treasury Bond

Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums

1973 ◽  
Vol 81 (6) ◽  
pp. 1387-1406 ◽  
Author(s):  
Katherine Dusak
Keyword(s):  
Market Risk ◽  
Commodity Market ◽  
Futures Trading ◽  
Risk Premiums ◽  
Investor Returns
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