The Equity Premium and The Volatility Spread : The Role of Risk-Neutral Skewness

Feunou, Bruno; Fontaine, Jean‐Sébastien; Tedongap, Roméo

doi:10.2139/ssrn.1301696

Cited by 2 publications

(1 citation statement)

References 30 publications

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“…However Goyal and Welch found inconsistency of research result between dividend payout ratio to dividend yield, which is dividend yield used for estimating equity premium as dividend ratio hardly can be used for estimating totally but postwar [13]. The invention of the explanatory factor of equity premium remains proceeding, upon the factor that affects equity premium proceeding by solving on volatility stock price by [14] Zhao and Wu, also by Chen et al, and by Feunou as well as Harbula [4,[14][15][16]. The macroeconomics factor in advanced countries found that inflation can affect equity premium by Gowing, as well as fluctuating exchange rate invented by Mun KC and also by Jun Tu and Wang [17][18][19].…”

Section: Introductionmentioning

confidence: 99%

The Effect of Inflation Rate and Rupiah Currency Exchange Rate Fluctuation toward Stock Risk at Indonesia Capital Market

Basri¹,

Harnaji²,

Kartinah³

2019

Proceedings of the International Conference on Banking, Accounting, Management, and Economics (ICOBAME 2018)

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Equity premium is stock investment risk that it is necessary to consider to be included into free-risk return becomes return investor expectation. Equity premium inquirer occurred since it has been excessively extended to explain on capital asset pricing of Sharpe model. Equity premium explaining factor has been invented some variables, the following research will examine inflation rate variable, the fluctuation of rupiah exchange rate based on macroeconomics factor which has influence to equity premium. Sample using purposive sampling as much 213 stocks which have completed data during period January 2007 up to December 2015. Secondary Data was collected using documentation method through electronic media. The result of this analyze found that inflation rate has negative influence significantly not in line with the theory due to inflation rate in Indonesia both its amount and its fluctuation are inversely proportional to advanced countries such as USA, while the fluctuating rupiah exchange rate is depreciated by the significant positive influence to equity premium.

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