Graph and download economic data for Real Risk Premium (TENEXPCHAREARISPRE) from Jan 1982 to Sep 2025 about premium, real, and USA.

This dataset is about books. It has 1 row and is filtered where the book is The levered equity risk premium and credit spreads : a unified framework. It features 7 columns including author, publication date, language, and book publisher.

This replication folder recreates all tables and figures in RFS article "The Market Risk Premium for Unsecured Consumer Credit Risk." For instructions, see the file "Instructions_ReplicationCode.pdf."

This article investigates the intertemporal relation between volatility spreads and expected returns on the aggregate stock market. We provide evidence for a significantly negative link between volatility spreads and expected returns at the daily and weekly frequencies. We argue that this link is driven by the information flow from option markets to stock markets. The documented relation is significantly stronger for the periods during which (i) S&P 500 constituent firms announce their earnings; (ii) cash flow and discount rate news are large in magnitude; and (iii) consumer sentiment index takes extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance risk premium, and macroeconomic variables. Moreover, a trading strategy based on the intertemporal relation with volatility spreads has higher portfolio returns compared to a passive strategy of investing in the S&P 500 index, after transaction costs are taken into account.

Armenia AM: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data was reported at 1.253 % pa in 2023. This records an increase from the previous number of 1.131 % pa for 2022. Armenia AM: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data is updated yearly, averaging 7.526 % pa from Dec 2001 (Median) to 2023, with 23 observations. The data reached an all-time high of 13.934 % pa in 2005 and a record low of 1.131 % pa in 2022. Armenia AM: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data remains active status in CEIC and is reported by World Bank. The data is categorized under Global Database’s Armenia – Table AM.World Bank.WDI: Interest Rates. Risk premium on lending is the interest rate charged by banks on loans to private sector customers minus the 'risk free' treasury bill interest rate at which short-term government securities are issued or traded in the market. In some countries this spread may be negative, indicating that the market considers its best corporate clients to be lower risk than the government. The terms and conditions attached to lending rates differ by country, however, limiting their comparability.;International Monetary Fund, International Financial Statistics database.;;

A common practice in business valuation and the determination of fair rates of return by regulatory agencies is to use the capital asset pricing model (CAPM) with the ad hoc addition of a country risk premium. The present paper documents this practice in the valuation reports required in public acquisition offers available on the CVM (Brazilian Securities and Exchange Commission) website. Multiple linear regression is used with monthly returns for stock shares of 204 firms listed on the BM&FBovespa (Brazilian Stock Exchange). The period covered is from January 2009 to December 2013, and the results indicate that there is a premium for Brazilian risk that is not completely reflected in Ibovespa returns for only 17 securities. Hence, if one uses the local market index when estimating a firm's cost of equity, it would be both redundant and incorrect to add a country risk premium. The paper concludes with a real company example in which the adoption of the conventional approach - with a country risk premium added - would lead to a 17% pricing error.

Bulgaria BG: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data was reported at 7.078 % pa in 2015. This records an increase from the previous number of 7.048 % pa for 2014. Bulgaria BG: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data is updated yearly, averaging 7.048 % pa from Dec 2006 (Median) to 2015, with 9 observations. The data reached an all-time high of 9.377 % pa in 2011 and a record low of 6.140 % pa in 2007. Bulgaria BG: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data remains active status in CEIC and is reported by World Bank. The data is categorized under Global Database’s Bulgaria – Table BG.World Bank.WDI: Interest Rates. Risk premium on lending is the interest rate charged by banks on loans to private sector customers minus the 'risk free' treasury bill interest rate at which short-term government securities are issued or traded in the market. In some countries this spread may be negative, indicating that the market considers its best corporate clients to be lower risk than the government. The terms and conditions attached to lending rates differ by country, however, limiting their comparability.;International Monetary Fund, International Financial Statistics database.;;

United States US: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data was reported at 3.186 % pa in 2016. This records a decrease from the previous number of 3.201 % pa for 2015. United States US: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data is updated yearly, averaging 2.868 % pa from Dec 1960 (Median) to 2016, with 57 observations. The data reached an all-time high of 4.793 % pa in 1981 and a record low of 0.587 % pa in 1965. United States US: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data remains active status in CEIC and is reported by World Bank. The data is categorized under Global Database’s United States – Table US.World Bank.WDI: Interest Rates. Risk premium on lending is the interest rate charged by banks on loans to private sector customers minus the 'risk free' treasury bill interest rate at which short-term government securities are issued or traded in the market. In some countries this spread may be negative, indicating that the market considers its best corporate clients to be lower risk than the government. The terms and conditions attached to lending rates differ by country, however, limiting their comparability.; ; International Monetary Fund, International Financial Statistics database.; ;

The excess bond premium (EBP) is a measure of investor sentiment or risk appetite in the corporate bond market. A credit spread index can be decomposed into two components: a component that captures the systematic movements in default risk of individual firms and a residual component: the excess bond premium that represents variation in the average price of bearing exposure to US corporate credit risk, above and beyond the compensation for expected defaults. The EBP component of corporate bond credit spreads that is not directly attributable to expected default risk provides an effective measure of investor sentiment or risk appetite in the corporate bond market.

Contains datasets and codes used for empirical analysis in the paper "Predicting Equity Risk Premium: Conditioning Forecasts on Economic Uncertainty". Also contains a README pdf file that provides a summary of the datasets and codes used in the paper and an Excel file with a description of variables.

Nepal NP: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data was reported at 1.087 % pa in 2010. This records a decrease from the previous number of 2.897 % pa for 2009. Nepal NP: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data is updated yearly, averaging 8.073 % pa from Dec 1981 (Median) to 2010, with 22 observations. The data reached an all-time high of 12.000 % pa in 1985 and a record low of 0.783 % pa in 1996. Nepal NP: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data remains active status in CEIC and is reported by World Bank. The data is categorized under Global Database’s Nepal – Table NP.World Bank.WDI: Interest Rates. Risk premium on lending is the interest rate charged by banks on loans to private sector customers minus the 'risk free' treasury bill interest rate at which short-term government securities are issued or traded in the market. In some countries this spread may be negative, indicating that the market considers its best corporate clients to be lower risk than the government. The terms and conditions attached to lending rates differ by country, however, limiting their comparability.; ; International Monetary Fund, International Financial Statistics database.; ;

View data of the S&P 500, an index of the stocks of 500 leading companies in the US economy, which provides a gauge of the U.S. equity market.

Key Features of the Premium Dataset: In addition to the core data found in the Basic Dataset, the Premium Dataset includes the following exclusive variables:

•  Parking Availability – Information on available parking spaces, crucial for understanding accessibility and shopper convenience.
•  Shopping Center Tenants Count – The number of tenants within a shopping center, providing insights into size, tenant diversity, and business activity.
•  Actual Gross Leasable Area (GLA) in Square Footage – Accurate measurements of leasable space, allowing for better property comparisons and evaluations.
•  ICSC Shopping Center Classifications – Categorization based on International Council of Shopping Centers (ICSC) standards, helping users distinguish between different types of retail centers, from regional malls to neighborhood centers.

Benefits of the Premium Dataset:

By incorporating these additional data points, CAP’s Premium Dataset supports a wide range of use cases, including: • Retail Expansion & Site Selection – Retailers can analyze tenant distribution, parking availability, and shopping center classifications to identify ideal locations for expansion. • Real Estate Investment & Development – Investors and developers gain valuable insights into shopping center sizes, tenant compositions, and classification trends to inform property acquisition and development decisions. • Competitive & Market Analysis – Businesses and analysts can compare shopping centers across multiple metrics, assess competition, and understand local market dynamics with greater precision.

With its enhanced level of detail, the Premium USA & Canada Shopping Centers Dataset is an essential tool for retailers, real estate professionals, investors, and market researchers looking to make data-driven decisions with confidence.

Canada CA: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data was reported at 2.183 % pa in 2017. This records a decrease from the previous number of 2.200 % pa for 2016. Canada CA: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data is updated yearly, averaging 1.781 % pa from Dec 1960 (Median) to 2017, with 58 observations. The data reached an all-time high of 2.926 % pa in 1974 and a record low of 0.649 % pa in 1968. Canada CA: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data remains active status in CEIC and is reported by World Bank. The data is categorized under Global Database’s Canada – Table CA.World Bank.WDI: Interest Rates. Risk premium on lending is the interest rate charged by banks on loans to private sector customers minus the 'risk free' treasury bill interest rate at which short-term government securities are issued or traded in the market. In some countries this spread may be negative, indicating that the market considers its best corporate clients to be lower risk than the government. The terms and conditions attached to lending rates differ by country, however, limiting their comparability.;International Monetary Fund, International Financial Statistics database.;;

We compile raw data from the Datastream database for all stocks traded on the Tokyo Stock Exchance, Osaka Exchange, Fukuoka Stock Exchange, Nagoya Stock Exchange and Sapporo Securities Exchange. Particularly, we collect the following data series, on a monthly basis: (i) total return index (RI series), (ii) market value (MV series), (iii) market-to-book equity (PTBV series), and (iv) primary SIC codes. Following Griffing et al. (2010), we exclude non-common equity securities from Datastream data. Additionally, we remove all companies with less than 12 observations in RI series for the period under analysis. Hence, our sample comprises 5,627 stocks, considering all companies that started trading or were delisted in the period under analysis. We use the three-month Treasury Bill rate for Japan, as provided by the OECD database, as a proxy for the risk-free rate. Accordingly, the dataset comprises the following series:

1. Japan_25_Portfolios_MV_PTBV_M: Monthly returns for 25 size-book-to-market equity portfolios, following the Fama and French (1993) methodology. (Raw data source: Datastream database)
2. Japan_20_Portfolios_MOM_M: Monthly returns for 20 momentum portfolios rebalanced in June of each year. (Raw data source: Datastream database)
3. Japan_61_Portfolios_SECTOR_M: Monthly returns for 61 industry portfolios. (Raw data source: Datastream database)
4. Japan_RF_M: Three-month Treasury Bill rate for Japan. (Raw data source: OECD)
5. Japan_C_Q: Private final consumption expenditure, in national currency and constant prices, non-seasonally adjusted, for Japan. (Raw data source: OECD)
6. Japan_Trade_Y: Trade openness for Japan, as measured by the variation rate of exports plus imports. (Raw data source: OECD)
7. Japan_RD_Y: Variation rate of R&D investment for Japan. (Raw data source: OECD)
8. Japan_IK_Y: Investment-capital ratio for Japan., determined using the methodology suggested by Cochrane (1991) (Raw data source: OECD)
9. Japan_CCI_M: Consumer confidence index for Japan. (Raw data source: OECD)

REFERENCES:

Cochrane, J.H. (1991), Production-based asset pricing and the link between stock returns and economic fluctuations. The Journal of Finance, 46, 209-237. Fama, E. F. and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56. Griffin, J. M., Kelly, P., and Nardari, F. (2010). Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets. Review of Financial Studies, 23, 3225–3277.

This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a unique dataset, we find empirical evidence that credit risk alone is not overly important in determining credit-related spreads. Only accounting for both collateral arrangement and credit risk can sufficiently explain unsecured credit costs. This finding suggests that failure to properly account for collateralization may result in significant mispricing of derivatives. We also empirically gauge the impact of collateral agreements on risk measurements. Our findings indicate that there are important interactions between market and credit risk. Date: 2020-07-22

We calculate daily realized semi-coskewnesses using 5-minute intraday returns and aggregate them to obtain weekly frequency based on all the listed stocks of China’s A-share stock market. We also extract market capitalization, turnover rate, and book-to-market ratio for each stock from the CRSP database and the RESSET Financial Research database respectively. Lastly, we use daily returns to compute weekly returns, realized (co)moments, realized semi-risk factors, and lagged returns as well as maximum/minimum returns over the previous month.

Azerbaijan Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data was reported at 2.216 % pa in 2017. This records a decrease from the previous number of 3.419 % pa for 2016. Azerbaijan Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data is updated yearly, averaging 8.492 % pa from Dec 1998 (Median) to 2017, with 19 observations. The data reached an all-time high of 18.871 % pa in 2010 and a record low of 1.178 % pa in 1999. Azerbaijan Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data remains active status in CEIC and is reported by World Bank. The data is categorized under Global Database’s Azerbaijan – Table AZ.World Bank.WDI: Interest Rates. Risk premium on lending is the interest rate charged by banks on loans to private sector customers minus the 'risk free' treasury bill interest rate at which short-term government securities are issued or traded in the market. In some countries this spread may be negative, indicating that the market considers its best corporate clients to be lower risk than the government. The terms and conditions attached to lending rates differ by country, however, limiting their comparability.;International Monetary Fund, International Financial Statistics database.;;

The dataset contains year-, month- and company-wise complied data on the market share in the total amount of Gross Direct Premium Underwritten by each insurance company, categorized by General, Private, Public, Stand Alone, and Specialized PPSU Insurers, etc.

Notes:

1. As per IRDA definition, Underwriting refers to the process of assessing risk and ensuring that the cost of the cover is proportionate to the risks faced by the individual concerned. Based on underwriting, a decision on acceptance or rejection of cover as well as applicability of suitable premium or modified terms, if any, is taken

2. Negative Values in the dataset are as per Official Source

Tanzania TZ: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data was reported at -0.215 % pa in 2016. This records a decrease from the previous number of 3.234 % pa for 2015. Tanzania TZ: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data is updated yearly, averaging 7.378 % pa from Dec 1995 (Median) to 2016, with 22 observations. The data reached an all-time high of 18.668 % pa in 1996 and a record low of -0.215 % pa in 2016. Tanzania TZ: Risk Premium on Lending: Lending Rate Minus Treasury Bill Rate data remains active status in CEIC and is reported by World Bank. The data is categorized under Global Database’s Tanzania – Table TZ.World Bank.WDI: Interest Rates. Risk premium on lending is the interest rate charged by banks on loans to private sector customers minus the 'risk free' treasury bill interest rate at which short-term government securities are issued or traded in the market. In some countries this spread may be negative, indicating that the market considers its best corporate clients to be lower risk than the government. The terms and conditions attached to lending rates differ by country, however, limiting their comparability.; ; International Monetary Fund, International Financial Statistics database.; ;