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Risk Premium and Market Efficiency

In: Business and Management

Submitted By Neraice
Words 547
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Risk premium
Risk premium ontstaat wanneer investeerders binnenlandse en buitenlandse bonds niet langer zien als perfecte substituten. Als ze bijvoorbeeld vinden dat binnenlandse bonds een relatief hoger risico hebben dat buitenlandse bonds, dan zullen ze op de binnenlandse bonds een hogere return verwachten. Deze hogere return wordt de risk premium genoemd.
Voor een risk premium moet er aan drie voorwaarden worden voldaan:
1. Risicoverschil tussen binnenlandse en buitenlandse bonds.
2. Investeerders moeten risk averse zijn.
3. Er moet een verschil zijn tussen de risk-minimizing portfolio en de echte portfolio.
Twee definities:
1. r - r* = Eṡ + RP r r*
Eṡ
RP

= binnenlandse rente
= buitenlandse rente
= verwachtte depreciatie van binnenlandse munt tov buitenlandse munt
= risicopremie voor binnenlandse bonds

2. Premium om risicio te vermijden:
Stel Nederlandse importeur moet $1 betalen op tijdstip t+1. st+1 is onbekend en dus risico.
Importeur koopt forward van B en betaalt ft euro op t+1 aan B. B heeft nu het risico en wilt ft > Est als compensatie voor het hebben van euros op tijdstip t+1 ipv dollars. Importeur betaalt dit om risico te vermijden.
RP = f-Es
Er zijn verschillende bronnen van risico. Deze bronnen zijn onderverdeeld in twee categorieën:
Currency risks
Inflation risk: Dit risico ontstaat wanneer de inflatie in de binnenlandse en buitenlandse economie onzeker is. Als dit het geval is dan is de real return niet zeker en is er dus risico.
Exchange risk: Verwachte verandering van de wisselkoers. Dit risico speelt een rol wanneer PPP niet houdt.
Country risks
Exchange control risk: Bijvoorbeeld belastingen op r of r*.
Default risk: Bijvoorbeeld wanneer de overheid weigert om rente of de principal op bonds de betalen die door hen zijn uitgegeven in een buitenlandse munteenheid.
Political risk: Bijvoorbeeld het innemen van investeringen door de overheid.

Effect van RP op wisselkoers
Voorbeeld: EZ tov US. Depreciatie van de euro toen de Griekse problemen duidelijk werden. Toen deze problemen duidelijk werden werd het risicovoller om in de Eurozone te investeren, dus RP omhoog. r < r* + Eṡ + RP. Hierdoor heeft men teveel EZ bonds (hoger risico) en te weinig US bonds. EZ bonds verkopen en US bonds kopen (euros omwisselen voor dollars). Hierdoor gaat gaan s en r omhoog en r* omlaag tot r = r* + Eṡ + RP. RP heeft dus een invloed op s.

Valutamarktefficientie
Definitie Valutamarktefficiëntie: Wanneer st+1 systematisch gelijk is aan ft-RPt.
Als bijvoorbeeld st+1 groter is dan ft dan kun je op tijdstip t goedkoop buitenlandse valuta aanschaffen, één periode wachten en vervolgens met winst verkopen op tijdstip t+1. Er is arbitrage mogelijk, dus is er geen sprake van efficiëntie.
Vaak ook geschreven als E{st+1}, omdat je het pas naderhand weet.
Assumpties; Op tijdstip t gebruik maken van alle beschikbare informatie.
Hoe wordt die verwachting E dan gevormd? Het moet immers het werkelijke complexe verloop van de valutawaarde voorspellen
Het is niet de verwachting van de beleggers EBeleggers, want die zijn subjectief. We moeten kijken naar de EProces, want dat is objectief.
EProces{st+1}=ft-RPt
Dat lijkt op E{st+1}=ft-RPt (ofwel de Risk Primium evenwicht voorwaarde), maar dat is eigenlijk
EBeleggers{st+1}=ft-RPt
Wanneer de EProces gelijk is aan de EBeleggers (dus EProces{st+1}=ft-RPt ) dan is er sprake van
Rationele Verwachtingen.

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