scholarly journals Kurtosis and Skewness on Lagged Market Risk Premium in Indonesian Market During Covid 19 Pandemic

2021 ◽  
Vol 5 (1) ◽  
Author(s):  
Iman Lubis
Keyword(s):  
Panel Data ◽  
Capital Market ◽  
Risk Premium ◽  
Market Risk ◽  
Previous Model ◽  
Return Distribution ◽  
Market Risk Premium ◽  
Predictive Regression ◽  
The Impact ◽  
Skewness And Kurtosis

This study investigates the impact of return distribution such as skewness and kurtosis on lagged market risk premium to risk premium in Indonesia capital market during COVID-19 pandemic. Data are monthly, from january to December 2020, and 674 firms. Panel data predictive regression is used The method  For this study, I first looked for market risk premium and risk premium desripitives. Second, I used monthly panel data predictive regression from lagged market risk premium and risk premium in 2020. Third, I incorporate skewness and kurtosis simultaneously. Fourth, I exclude kurtosis or skewness in previous model. The results are market risk premium and risk premium having negative return. Risk premium has lower returns than market risk premium. The beta lagged market risk premium is significant to risk premium. The skewness and kurtosis market risk premium do not signify to risk premium together but significant separately. I can clonclude that the movement market risk premim and risk premium during COVID-19 pandemic are average negative. Beta lagged market risk premium can explain the future monthly risk premium. Contrary skewness and kurtosis, those can not be run together. When the model used to beta lagged market risk premium and skewness, partially the skewness was significant and the direction was positive. However, only beta lagged market risk premium and kurtosis were staying negative to the previous model. Incorporating lagged assumptive distribution only explain the risk premium under 1 % about 0.24%.

The effect of leverage on the performance of real estate companies

2018 ◽  
Vol 11 (3) ◽  
pp. 284-318 ◽  
Author(s):  
Giacomo Morri ◽  
Karoline Jostov
Keyword(s):  
Real Estate ◽  
Risk Premium ◽  
Market Risk ◽  
Local Market ◽  
Cross Sectional ◽  
Content Type ◽  
Crisis Period ◽  
Market Risk Premium ◽  
Fama And French ◽  
The Impact

Purpose This paper aims to investigate the impact of leverage on the total shareholder return of European publicly traded real estate vehicles in three periods: Crisis Period (2007-2009), Rebound Period (2009-2014) and the Whole Period. Design/methodology/approach Cross-sectional analysis is used and the leverage effect on the performance is controlled for seven other independent variables (local market risk premium, size, book-to-market, short-term debt, cash); moreover, regional differences are accounted for. Findings It is established that during the Crisis Period, leverage levels are negatively associated with performance: this relationship also holds throughout the Whole Period, implying that for real estate securities, the cost of financial distress is larger than the potential gain from taxation, although the economic significance of it is limited. The Fama and French (1992) three factors, including size, book-to-market and local market risk premium, are found to be relevant, which is consistent with the literature. In addition, the UK and Sweden regions are identified as significant. Originality/value Even if there is sizeable body of literature on determinants of leverage and determinants of asset returns, little work has been done on how leverage affects the returns of European real estate companies. In addition, this paper takes advantage of observations from a full economic cycle and the possible effects of the crisis period.

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

Gains from Integration? An Empirical Hint from the Eurozone

2020 ◽  
Vol 28 (3) ◽  
pp. 483-512
Author(s):  
Ku-Hsieh Chen ◽  
Jen-Chi Cheng ◽  
Joe-Ming Lee ◽  
Chih-Chun Chen
Keyword(s):  
Risk Factor ◽  
Panel Data ◽  
Emerging Economies ◽  
Capital Market ◽  
Risk Premium ◽  
Output Growth ◽  
Market Return ◽  
Productivity Gain ◽  
Group A ◽  
Degree Of Risk

Has the eurozone (EZ) really gained from integration? This study applied two econometric frameworks, mGARCH and gMMPI, to test this hypothesis, using panel data that span 1996–2014, a total of 19 years, involving the EZ, EU, G8, G20 and some emerging economies. The empirical outcomes initially showed that the EZ economies experienced neither superior output growth nor a better capital market return than non-EZ economies or the pre-EZ period. They further suggested that each EZ country had a higher degree of risk bearing and, as a group, a greater risk linkage. Moreover, the results indicated that the EZ had a higher productivity gain if the risk premium was counted as part of productivity. Nonetheless, the EZ did not show a substantial productivity gain when the effect of the risk factor was controlled. The ratio of risk bearing to risk premium gain was shown to be 1 to 0.97. The general conclusion is that, other than the risk premium, there was no extra productivity gain for the EZ from taking the risk.

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