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Abstract(s)
Nesta tese analisamos o poder de previsão out-of-sample do term-spread e dos seus domínios de frequência sobre prémios de risco de mercado. A variável term spread representa a diferença entre taxas de juro de longo e curto prazo de obrigações do governo e a sua decomposição em domínio de frequência é feita através do método Maximum Overlap Discrete Wavelet Transform.
Foi comprovado pela literatura que no mercado dos Estados Unidos da América a componente de baixa frequência do term spread tem uma performance forte e robusta em exercícios out-of-sample sobre prémios de risco de mercado. Nesta tese, abordamos a possibilidade de este indicador ter a mesma performance em mercados internacionais (Alemanha, França, Japão, Reino Unido, Canada, África do Sul e Australia). Até então, esta alternativa ainda não foi abordada na literatura, e consideramos muito importante a sua análise para os mais diversos investidores, tanto locais como internacionais.
A principal conclusão desta tese é que a série original em domínio temporal e a componente de baixa frequência do term spread tem uma performance out-of-sample forte e robusta a prever prémios de risco de mercado para além dos Estados Unidos da América, na Alemanha, na França e no Canada.
In this thesis we analyze the equity risk premium out-of-sample forecasting power of the term spread and its frequency components. The term spread is the difference between long and short term governmental interest rates and its frequency decomposition is done by applying a Maximum Overlap Discrete Wavelet Transform approach. It has been shown in the literature that, in the United States of America equity market, the low frequency of the term spread is a strong and robust out-of-sample predictor of equity risk premium. In this thesis we address the empirical question if in alternative geographic zones (Germany, France, Japan, United Kingdom, Canada, South Africa and Australia) that continues to be the case. This question has not been addressed so far in the literature and we foresee it as highly relevant for both local and international diversified equity investors. Our main conclusion is that the original time series and the low frequency component of the term spread are a strong and robust out-of-sample predictors of the equity risk premium beyond United States of America, namely in Germany, France and Canada.
In this thesis we analyze the equity risk premium out-of-sample forecasting power of the term spread and its frequency components. The term spread is the difference between long and short term governmental interest rates and its frequency decomposition is done by applying a Maximum Overlap Discrete Wavelet Transform approach. It has been shown in the literature that, in the United States of America equity market, the low frequency of the term spread is a strong and robust out-of-sample predictor of equity risk premium. In this thesis we address the empirical question if in alternative geographic zones (Germany, France, Japan, United Kingdom, Canada, South Africa and Australia) that continues to be the case. This question has not been addressed so far in the literature and we foresee it as highly relevant for both local and international diversified equity investors. Our main conclusion is that the original time series and the low frequency component of the term spread are a strong and robust out-of-sample predictors of the equity risk premium beyond United States of America, namely in Germany, France and Canada.
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Keywords
Prémio de risco de mercado Term spread Domínio de frequência Equity risk premium Frequency domain