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Pricing Growth-Rate Risk

Lars Peter Hansen, Jose A. Scheinkman
2009 Social Science Research Network  
This parameterization defines a direction of growth-rate risk exposure that is priced using the stochastic discount factor S.  ...  We characterize the compensation demanded by investors in equilibrium for incremental exposure to growth-rate risk.  ...  The resulting prices of growth-rate risk extend the local prices to arbitrary investment horizons.  ... 
doi:10.2139/ssrn.1506563 fatcat:fwr5hpch3bec5jyudigij4ujvu

Pricing growth-rate risk

Lars Peter Hansen, José A. Scheinkman
2010 Finance and Stochastics  
This parameterization defines a direction of growth-rate risk exposure that is priced using the stochastic discount factor S.  ...  We characterize the compensation demanded by investors in equilibrium for incremental exposure to growth-rate risk.  ...  The resulting prices of growth-rate risk extend the local prices to arbitrary investment horizons.  ... 
doi:10.1007/s00780-010-0141-9 fatcat:uvevbkpsjndynj33heebzkvgxi

Are stock prices driven by expected growth rather than discount rates? Evidence based on the COVID-19 crisis

Pascal Böni, Heinz Zimmermann
2021 Risk Management: An International Journal  
rate, the latter typically used to explain stock returns in the classical asset pricing literature.  ...  We use the Gordon (Rev Econ Stat 41 (2) : [99][100][101][102][103][104][105] 1959) constant growth model to gauge the effects from innovations in implied growth versus discount rates.  ...  Again, this change in the expected risk premium cannot be explained by standard conditional asset pricing models, which rely on a cyclical risk appetite and rather suggests a growth-risk-related premium  ... 
doi:10.1057/s41283-021-00070-x fatcat:awmdeae42rc6vfoxdwtpswb4bm

PENGARUH DIVIDEND PAYOUT RATIO, GROWTH RATE OF EARNING, DAN SYSTEMATIC RISK TERHADAP PRICE EARNING RATIO: PENGUJIAN KONSISTENSI MODEL UNTUK MENILAI KEWAJARAN HARGA SAHAM DL BURSA EFEK JAKARTA

Fanny Rifqi El Fuad
2009 Jurnal Aplikasi Bisnis  
dan return.Hubungan antara dua konsep tersebut bisa dijelaskan melalui CapitalAsset Fanny Ri qi El Fuad: Pengaaih Dividend Payout Ratio, Growth Rate ofEarning Pricing Model{CAPWi), yang menyatakanbahwasemakin  ...  Dividendpayout ratio6an growth rate ofearning mewaVWi prospek saham, diharapkan berpengaruh positif (searah).  ... 
doi:10.20885/jabis.vol8.iss1.art3 fatcat:h432hstmzrapznkdidvcedbyv4

The Nexus among Competitively Valued Exchange Rates, Price Level, and Growth Performance in the Turkish Economy; New Insight from the Global Value Chains

Umar Aliyu Shuabiu, Mohammed A. M. Usman, Behiye Çavuşoğlu
2021 Journal of Risk and Financial Management  
In this study, the nexus among Competitively Valued Exchange Rates, Price level, and Growth Performance in the Turkish Economy; New insight from the GVCs is investigated using annual data from 1980 to  ...  Furthermore, monetary policy, GVCs, and economic growth should be investigated.  ...  Schematic Framework for Valued exchange rate, Price level, and Growth Performance Relationship. Source: Authors.  ... 
doi:10.3390/jrfm14110528 fatcat:3gctlvypy5an7jwmhf3uckkzgi

Systemic Financial Risk Early Warning System Based on House Price Fluctuation Factor

Na Guo, Shuting Fan
2018 DEStech Transactions on Economics Business and Management  
indicator system based on housing price fluctuation risk factor.  ...  CPI year-on-year growth rate, M2 growth rate, export growth rate are negative related with the probability of financial crisis. 1  ...  The second level is the macroeconomic risk indicator, considering the risk caused by changes in asset prices, including the year-on-year growth rate of GDP.  ... 
doi:10.12783/dtem/icems2018/25609 fatcat:q4ncexll7jhg3hwrx7fqsbm734

China and International Housing Price Growth

Yuk Ying Chang, Hamish D. Anderson, Song Shi
2017 Social Science Research Network  
local property market price growth and China's interest rate returns.  ...  We document Chinese effects on international residential property price growth. We show the prices rise following falls in China's GDP or when China's savings rate increases.  ...  between China's China's interest rate and local housing price growth is lower.  ... 
doi:10.2139/ssrn.3168936 fatcat:sc73zczsbndfxb7qauqjbeigje

China and international housing price growth

Yuk Ying Chang, Hamish Anderson, Song Shi
2018 China economic review  
local property market price growth and China's interest rate returns.  ...  We document Chinese effects on international residential property price growth. We show the prices rise following falls in China's GDP or when China's savings rate increases.  ...  between China's China's interest rate and local housing price growth is lower.  ... 
doi:10.1016/j.chieco.2018.04.013 fatcat:dmdjbcu6h5h4royf6spxaxhbku

Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles

Ravi Bansal, Amir Yaron
2004 Journal of Finance  
The model can justify the equity premium, the risk-free rate, and the volatility of the market return, risk-free rate, and the pricedividend ratio.  ...  In our economy, financial markets dislike economic uncertainty and better long-run growth prospects raise equity prices.  ...  The exposure of the market return to expected growth rate news is im,e, and the price of expected growth risk is determined by Xm,e.  ... 
doi:10.1111/j.1540-6261.2004.00670.x fatcat:7x7bbhq3mfh7pfspedteppwvgq

Impact of selected factors on stock price: a case study of Vietcombank in Vietnam

Dinh Tran Ngoc Huy, Bui Thi Thu Loan, Pham Tuan Anh
2020 Entrepreneurship and Sustainability Issues  
The results of quantitative research, in a seven factor model, show that the increase in GDP growth and lending rate and risk free rate has a significant effect on increasing VCB stock price with the highest  ...  growth and stabilizing macroeconomic factors.  ...  interest rate, Risk free rate, S&P 500, exchange rate and VCB stock price) for macro economic factors Unit: % VCB stock price GDP growth Inflation (CPI) VN Index Lending rate Risk free  ... 
doi:10.9770/jesi.2020.7.4(10) fatcat:naqmuy3dvjdb7iuorlippiaby4

Demographics, GDP and Future Stock Returns: The Implications of Some Basic Principles

Bradford Cornell
2012 Social Science Research Network  
In this short paper, I return to basic theories of economic growth and asset pricing to disentangle the various ways in which demographics can affect future economic growth and future stock returns.  ...  I conclude that while the aging of the baby boom generation is indeed bad news for future economic growth, particularly on a per capita basis, it is unlikely to be lead to lower future stock returns.  ...  With regard to the risk-free rate, equation (5) says that a slowdown in economic growth reduces the risk-free rate. Such a drop in the risk-free rate implies lower expected stock returns.  ... 
doi:10.2139/ssrn.2080637 fatcat:ucb6ubwebzdrbj7jt7757ljo6m

The Consumption-Real Exchange Rate Anomaly: An Asset Pricing Perspective

Thomas Nitschka, Mathias Hoffmann
2007 Social Science Research Network  
growth rates across countries.  ...  Idiosyncratic consumption risk explains more than 60 percent of the crosssectional variation in quarterly exchange rate changes and currency returns.  ...  Though average consumption growth risk seems to be helpful in pricing currencies, it is not priced in average currency returns. formed with respect to interest rate di¤erentials.  ... 
doi:10.2139/ssrn.1013491 fatcat:6gbfq4bq3bbsvbninzdmbugxey

The Effect of Sukuk Issuance on Price Reaction and Growth of Sharia Capital Market

Akbar Azis, Cepi Pahlevi, Erlina Pakki
2021 HASANUDDIN JOURNAL OF BUSINESS STRATEGY  
This study aims to analyze the effect of the value of Sukuk, Sukuk rating, and risk of Sukuk on the growth of the Islamic capital market mediated by Sukuk price during the period of 2014-2019 using value  ...  This mediation result is also the same for the Sukuk rating and Sukuk risk.  ...  Further, market growth reaction can be said unable to be Sukuk rating, and Sukuk risk in relation to Sukuk price reacti ating and risk variables each have a positive and significant effect on the price  ... 
doi:10.26487/hjbs.v3i1.408 fatcat:ufisppplybh25aufonxsaixk6i

Understanding Housing Market Volatility

JOSEPH FAIRCHILD, JUN MA, SHU WU
2015 Journal of Money, Credit and Banking  
At the aggregate level, the growth and interest rate factors jointly account for up to 47% of the total variations in the price-rent ratio.  ...  And the local volatilities mostly are due to time-variations of idiosyncratic housing market risk premiums, not local growth.  ...  The risk premium term is then obtained by subtracting the rent growth and interest rate components from the price-rent ratio.  ... 
doi:10.1111/jmcb.12246 fatcat:5nyh34mdnrgf5ozcidzer3nes4

Understanding Housing Market Volatility

joseph fairchild, Jun Ma, Shu Wu
2012 Social Science Research Network  
At the aggregate level, the growth and interest rate factors jointly account for up to 47% of the total variations in the price-rent ratio.  ...  And the local volatilities mostly are due to time-variations of idiosyncratic housing market risk premiums, not local growth.  ...  The risk premium term is then obtained by subtracting the rent growth and interest rate components from the price-rent ratio.  ... 
doi:10.2139/ssrn.2133419 fatcat:4bzdtf7uovg7revshpwghf2xke
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