This digital document is a journal article from Finance Research Letters, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
We study the behavior of market risk, value, small cap, and momentum premia under different macro economic scenarios. If these factors are risk factors, then these factors offer high returns to investors at times when the gain (marginal utility) of additional consumption is low (good economic times) and low returns at times when the gain (marginal utility) of additional consumption is high (bad economics times). Our results show that market risk and small cap premia behave more like risk factors while value premium does not. In fact, our results show that a portfolio with a long position in value and a short position in growth is a hedge in the down market and recessionary periods. Our results also show that a momentum premium exists under different economically distressed scenarios we studied.
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The value, size, and momentum spread during distressed economic periods [An article from: Finance Research Letters]
Is low international risk sharing consistent with a high equity premium? A reconciliation of two puzzles [An article from: Economics Letters]
This digital document is a journal article from Economics Letters, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
In an incomplete market setting, we show that a pricing kernel exists, which reconciles the observed smooth real exchange rates with high domestic equity premium and low international risk sharing. The estimation results based on the US-Japanese data provide plausible estimates of the deep parameters.
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The Risk Premium Factor: A New Model for Understanding the Volatile Forces that Drive Stock Prices (Wiley Finance)
The Risk Premium Factor, + Website: A New Model for Understanding the Volatile Forces that Drive Stock Prices (Wiley Finance)
A radical, definitive explanation of the link between loss aversion theory, the equity risk premium and stock price, and how to profit from it
The Risk Premium Factor presents and proves a radical new theory that explains the stock market, offering a quantitative explanation for all the booms, busts, bubbles, and multiple expansions and contractions of the market we have experienced over the past half-century.
Written by Stephen D. Hassett, a corporate development executive, author and specialist in value management, mergers and acquisitions, new venture strategy, development, and execution for high technology, SaaS, web, and mobile businesses, the book convincingly demonstrates that the equity risk premium is proportional to long-term Treasury yields, establishing a connection to loss aversion theory.
- Explains stock prices from 1960 through the present including the 2008/09 “market meltdown”
- Shows how the S&P 500 has consistently reverted to values predicted by the model
- Solves the equity premium puzzle by showing that it is consistent with findings on loss aversion
- Demonstrates that three factors drive valuation and stock price: earnings, long term growth, and interest rates
Understanding the stock market is simple. By grasping the simplicity, business leaders, corporate decision makers, private equity, venture capital, professional, and individual investors will fully understand the system under which they operate, and find themselves empowered to make better decisions managing their businesses and investment portfolios.
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