Market Risk Premium and Risk-Free Rate Used for 69 Countries in 2019: A Survey

2019 ◽  
Author(s):  
Pablo Fernandez ◽  
Mar Martinez ◽  
Isabel Fernández Acín
Keyword(s):  
Risk Premium ◽  
Market Risk ◽  
Market Risk Premium ◽  
Risk Free Rate ◽  
Free Rate

Discount Rate (Risk-Free Rate and Market Risk Premium) Used for 41 Countries in 2015: A Survey

2015 ◽  
Author(s):  
Pablo Fernandez ◽  
Alberto Ortiz Pizarro ◽  
Isabel Fernnndez Accn
Keyword(s):  
Discount Rate ◽  
Risk Premium ◽  
Market Risk ◽  
Market Risk Premium ◽  
Rate Risk ◽  
Risk Free Rate ◽  
Free Rate

Huge Dispersion of the Risk-Free Rate and Market Risk Premium Used by Analysts in 2015

2015 ◽  
Author(s):  
Pablo Fernandez ◽  
Alberto Ortiz Pizarro ◽  
Isabel Fernnndez Accn
Keyword(s):  
Risk Premium ◽  
Market Risk ◽  
Market Risk Premium ◽  
Risk Free Rate ◽  
Free Rate

Discount Rate (Risk-Free Rate and Market Risk Premium) Used for 41 Countries in 2017: A Survey

2017 ◽  
Author(s):  
Pablo Fernandez ◽  
Vitaly Pershin ◽  
Isabel Fernnndez Accn
Keyword(s):  
Discount Rate ◽  
Risk Premium ◽  
Market Risk ◽  
Market Risk Premium ◽  
Rate Risk ◽  
Risk Free Rate ◽  
Free Rate

Market Risk Premium and Risk-Free Rate used for 59 Countries in 2018: A Survey

2018 ◽  
Author(s):  
Pablo Fernandez ◽  
Vitaly Pershin ◽  
Isabel Fernnndez Accn
Keyword(s):  
Risk Premium ◽  
Market Risk ◽  
Market Risk Premium ◽  
Risk Free Rate ◽  
Free Rate

Survey: Market Risk Premium and Risk-Free Rate used for 88 countries in 2021

2021 ◽  
Author(s):  
Pablo Fernandez ◽  
sofia bañuls ◽  
Pablo Fernandez Acin
Keyword(s):  
Risk Premium ◽  
Market Risk ◽  
Market Risk Premium ◽  
Risk Free Rate ◽  
Free Rate

Survey: Market Risk Premium and Risk-Free Rate used for 81 countries in 2020

2020 ◽  
Author(s):  
Pablo Fernandez ◽  
Eduardo de Apellániz ◽  
Javier F. Acín
Keyword(s):  
Risk Premium ◽  
Market Risk ◽  
Market Risk Premium ◽  
Risk Free Rate ◽  
Free Rate

Revisiting the Market Risk Premium

2011 ◽  
Author(s):  
James M. Sfiridis
Keyword(s):  
Risk Premium ◽  
Market Risk ◽  
Market Risk Premium

The Cross Section of Expected Returns with MIDAS Betas

2011 ◽  
Vol 47 (1) ◽  
pp. 115-135 ◽  
Author(s):  
Mariano González ◽  
Juan Nave ◽  
Gonzalo Rubio
Keyword(s):  
Cross Section ◽  
Risk Premium ◽  
Market Risk ◽  
Ordinary Least Squares ◽  
Mixed Data ◽  
Expected Returns ◽  
Data Sampling ◽  
Cross Sectional ◽  
Market Risk Premium ◽  
The Cross

AbstractThis paper explores the cross-sectional variation of expected returns for a large cross section of industry and size/book-to-market portfolios. We employ mixed data sampling (MIDAS) to estimate a portfolio’s conditional beta with the market and with alternative risk factors and innovations to well-known macroeconomic variables. The market risk premium is positive and significant, and the result is robust to alternative asset pricing specifications and model misspecification. However, the traditional 2-pass ordinary least squares (OLS) cross-sectional regressions produce an estimate of the market risk premium that is negative, and significantly different from 0. Using alternative procedures, we compare both beta estimators. We conclude that beta estimates under MIDAS present lower mean absolute forecasting errors and generate better out-of-sample performance of the optimized portfolios relative to OLS betas.

An Empirical Examination of Ex AnteEstimates of the Market Risk Premium

2014 ◽  
Vol 23 (2) ◽  
pp. 51-58 ◽  
Author(s):  
Austin Murphy ◽  
Liang Fu ◽  
Terry Benzschawel
Keyword(s):  
Risk Premium ◽  
Market Risk ◽  
Empirical Examination ◽  
Market Risk Premium
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