Publicación:
Term Structure of Risk Factor Premiums Used for Pricing Asset: Emerging vs. Developed Markets

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dc.contributor.authorGonzález Sánchez, Mariano
dc.date.accessioned2024-05-20T11:24:28Z
dc.date.available2024-05-20T11:24:28Z
dc.date.issued2022
dc.description.abstractThe aim of this empirical study was to estimate and compare the term structure of risk factor premiums in developed and emerging markets. Most studies use dividend and variance swap data, but as that information is not available for all markets, we use wavelet decomposition of the observed return to calculate sensitivity to risk factors and obtain a term structure for risk factor premiums. The results show that only the market risk factor (for both types of markets) and the conservative minus aggressive factor (only for developed markets) show a term structure for risk premiums.en
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.1080/1540496X.2021.1873128
dc.identifier.issn1339–1358
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11914
dc.journal.issue5
dc.journal.titleEmerging Markets Finance and Trade
dc.journal.volume58
dc.language.isoen
dc.publisherRoutledge. Taylor & Francis Group
dc.relation.centerFacultades y escuelas::Facultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsAtribución-NoComercial-SinDerivadas 4.0 Internacional
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0
dc.subject.keywordsTerm structure
dc.subject.keywordsrisk premium
dc.subject.keywordswavelets
dc.subject.keywordsmulti-factorial CAPM
dc.subject.keywordstime-frequency decomposition
dc.titleTerm Structure of Risk Factor Premiums Used for Pricing Asset: Emerging vs. Developed Marketses
dc.typeartículoes
dc.typejournal articleen
dspace.entity.typePublication
person.familyNameGonzález Sánchez
person.givenNameMariano
person.identifier.orcid0000-0002-8255-9478
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
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