ABSTRACT

The 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.

中文翻译：

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用于资产定价的风险因素溢价的期限结构：新兴市场与发达市场

摘要

本实证研究的目的是估计和比较发达市场和新兴市场风险因素溢价的期限结构。大多数研究使用股息和方差掉期数据，但由于该信息不适用于所有市场，我们使用观察到的收益的小波分解来计算对风险因素的敏感性并获得风险因素溢价的期限结构。结果表明，只有市场风险因素（两种市场）和保守减去激进因素（仅适用于发达市场）显示了风险溢价的期限结构。