Asset pricing, time-varying risk premia and interest rate risk

1997 ◽  
Vol 21 (3) ◽  
pp. 315-335 ◽  
Author(s):  
Mark J. Flannery ◽  
Allaudeen S. Hameed ◽  
Richard H. Harjes
Keyword(s):  
Asset Pricing ◽  
Interest Rate ◽  
Risk Premia ◽  
Interest Rate Risk ◽  
Time Varying ◽  
Rate Risk

scholarly journals Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20

2019 ◽  
Vol 11 (2) ◽  
pp. 162-175
Author(s):  
Cláudio Francisco Rezende ◽  
Vinícius Silva Pereira ◽  
Antonio Sergio Torres Penedo
Keyword(s):  
Asset Pricing ◽  
Interest Rate ◽  
Risk Premium ◽  
Fixed Effects ◽  
Interest Rate Risk ◽  
Pricing Model ◽  
Risk Premiums ◽  
Asset Pricing Model ◽  
Rate Risk ◽  
The Interest Rate

The objective of this paper is to empirically investigate the applicability of the asset pricing model in a portfolio made up of groups of countries, the G20 for this case. In the meantime, it was intended to compare a complete sample of 14 constituent countries of the group, a subsample of four countries belonging to the BRICS and another of the countries that do not belong. The survey sample consisted of long-term interest rate data from these countries collected in the OECD database and also from the Central Bank of Brazil (Bacen). Based on the results of the regression of Panel data on fixed effects, we found evidence that there is a statistically positive relationship between the market risk premium and the interest rate risk premiums. The regression betas showed that the interest rate risk premium is not sensitive when considering the full sample of the G20 countries but is sensitive in the BRICS sample.

Interest Rate Risk and the Cross Section of Stock Returns

2014 ◽  
Vol 49 (2) ◽  
pp. 483-511 ◽  
Author(s):  
Abraham Lioui ◽  
Paulo Maio
Keyword(s):  
Asset Pricing ◽  
Interest Rate ◽  
Stock Returns ◽  
Cross Section ◽  
Interest Rate Risk ◽  
Pricing Model ◽  
Nested Models ◽  
Asset Pricing Model ◽  
Rate Risk ◽  
The Cross

AbstractWe derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money. The model explains well the cross section of stock returns in addition to the excess market return. The interest rate factor is priced and seems to drive most of the explanatory power of the model. In this model, both value stocks and past long-term losers enjoy higher average (excess) returns because they have higher interest rate risk than growth/past winner stocks. The model significantly outperforms the nested models (capital asset pricing model (CAPM) and consumption CAPM (CCAPM)) and compares favorably with alternative macroeconomic models.

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