第89回研究会

開催日：

2024年8月13日(火) 16:00-17:00

会場：

丸の内永楽ビルディング18階 東京都立大学 丸の内サテライトキャンパス
(Zoomでも同時配信します)

報告者：

Niklas F Wagner 氏 (Professor of Finance, University of Passau, Germany)

タイトル：

Give me a Break: What does the Equity Premium Compensate for?

概要Overview

We provide evidence that the equity premium does not simply compensate investors for bearing market risk per se and contribute to an adequate modeling of the intertemporal risk-return relationship. Our model captures the relationship between conditional expected excess stock market returns, conditional market volatility, and conditional market illiquidity, while taking periodic trading breaks into account. We distinguish between two distinct sources of market risk, namely continuous diffusive risk during trading hours and a discontinuous component representing random overnight price jumps. Utilizing high-frequency data, we estimate specific premia for trading and non-trading components in terms of conditional volatility as well as conditional illiquidity. Our findings reveal that the equity premium primarily compensates for bearing risk and illiquidity during market closures. Conditional volatility and illiquidity during trading hours play only a minor role in explaining the equity premium and in shaping the intertemporal risk-return relationship.

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・Download Research Paper

講師ご略歴Profile for speakers

Niklas Wagner is Professor of Finance at the University of Passau, Germany. After receiving his PhD in Finance, he held postdoctoral appointments at the Haas School of Business, U.C. Berkeley, and at Stanford GSB, thereafter finishing his habilitation doctoral degree at TU Munich. Professor Wagner has co-authored various journal contributions in finance, covering research in the areas of asset management, asset pricing, applied financial econometrics as well as risk management. He has co-edited book volumes on derivatives and risk management, currently acts as an associate editor of Economic Modelling, Finance Research Letters, the Journal of International Financial Markets, Institutions and Money and is Editor-in-Chief of Studies in Economics and Finance. He regularly serves as a referee for well-known finance journals (including e.g. Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Business and Economic Statistics, Management Science, Quantitative Finance, Review of Financial Studies). During recent years, Professor Wagner was an academic guest to leading universities in Asia, Australia, Europe as well as the U.S.

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