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International Finance Discussion Papers - The Variance Risk Premium Around the World (Paperback) Loot Price: R237
Discovery Miles 2 370
You Save: R48 (17%)
International Finance Discussion Papers - The Variance Risk Premium Around the World (Paperback): Juan M. Londono
International Finance Discussion Papers - The Variance Risk Premium Around the World (Paperback): Juan M. Londono

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International Finance Discussion Papers - The Variance Risk Premium Around the World (Paperback)

Juan M. Londono; Created by United States Federal Reserve Board

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List price R285 Loot Price R237 Discovery Miles 2 370 You Save R48 (17%)

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This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the basic stylized facts traditionally documented for the US. I show that while the variance premiums in several other countries are, on average, positive and display significant time variation, they do not predict local equity returns. Then, I extend the domestic model in Bollerslev, Tauchen and Zhou (2009) to an international setting. In light of the qualitative implications of my model, I provide empirical evidence that the US variance premium outperforms that of all other countries in predicting local and foreign equity returns.

General

Imprint: Bibliogov
Country of origin: United States
Release date: February 2013
First published: February 2013
Authors: Juan M. Londono
Creators: United States Federal Reserve Board
Dimensions: 246 x 189 x 3mm (L x W x T)
Format: Paperback - Trade
Pages: 50
ISBN-13: 978-1-288-72391-1
Barcode: 9781288723911
Categories: Promotions
Books > Social sciences > Politics & government
Books > Social sciences > Politics & government > General
LSN: 1-288-72391-1

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