Fading Attention and the Pricing of Default Risk in the German Market for Structured Products

The Equity Risk Premium of Russian Companies: Theory and Practice

This paper examines the historical and projected equity risk premium (ERP) for the Russian stock market in view of the narrowing investment horizons of market participants and the increasing reliance on domestic resources. The study aims to substantiate the long-term advantages of equity investments. The methodology employs a comprehensive approach, including ERP calculation based on three risk-free rate proxies, the adaptation of expected return decomposition models, and formalized benchmarking via artificial intelligence (AI) models. The findings reveal that over 10-year horizons, Russian equities maintain a resilient historical advantage over bonds. The forecast for the 2025–2032 period points to an expected risk premium of approximately 7% per annum, driven primarily by dividend yields and the potential for valuation recovery from currently distressed levels (5.5 x CAPE). AI-based analysis confirms a consensus forecast for a positive premium within the 5.9–6.7% range. The analysis concludes that current market undervaluation is largely driven by temporary cyclical factors. Extending the investment horizon to 10 years serves as a strategic tool to mitigate interest rate volatility. To foster a framework grounded in fundamentals for investment analysis and forecasting, it is essential to implement regular CAPE ratio calculations and integrate long-term macroeconomic forecasts into institutional investment strategies. These measures are intended to facilitate the transformation of domestic savings into stable sources of long-term capital and promote the capitalization growth of the Russian stock market.

Market timing and short-term portfolio selection based on state price density

Market timing models aim to anticipate short-term market movements according to a given source of information. Such information could be extracted from an analysis of history or a forecast of the future. In fact, the financial markets are driven mainly by the expectations of market investors and by exogenous sources. An explicit way for market investors to make clear their expectations about a certain asset is to define the implied volatility of the options that are written on that asset. Moreover, the literature proposed tools that generate the state price density of the underlying by observing the implied volatility of the options. The combination of the implied volatilities and the state price density can give deep insight into investors’ expectations about the short-term movements of the underlying and, thus, can represent a reliable source of information to perform a market timing strategy or to select a portfolio for a risk-neutral investor with a short-term horizon. To avoid adjusting the procedure for dividend-paying assets, we develop our approach considering market price indexes. This approach constitutes a completely new technique to establish both a market timing strategy and a ranking among the considered indexes. In the empirical analysis, we considered both the market timing problem for a single index and the portfolio selection problem when multiple indexes are available.

Risk premia and hedging role of gold in the ICAPM framework: evidence from India

Sovereign Ratings and Risk Pricing, Agency Divergences in the European Union

Using annual EU-27 data for 1995-2024, we examine whether sovereign ratings mainly reflect common macro-fiscal fundamentals or whether agency-specific departures from that benchmark are also priced into sovereign funding conditions. Pooled ordered probits and a machine-learning diagnostic layer for nonlinearities and thresholds for Fitch, Moody’s, and S&P identify a stable set of core rating determinants centred on inflation, debt-to-GDP, current account balance, budget balance rule indicator, output gap, old-age dependency, and revenue capacity, while within-country variation is narrower and concentrated mainly in inflation, debt, and unemployment. The machine-learning analysis confirms that flexible models absorb nearly all systematic variation between fundamentals and ratings, validating the shadow-rating decomposition used in the market-pricing test. ECB-based bond-yield regressions show that both the fundamentals-implied shadow rating and the agency-specific deviation are priced in euro-area Bund spreads: a one-notch more favourable value of either component is associated with about 50 basis points lower spreads. Evidence indicates that this pricing effect strengthens as debt rises and intensifies further once debt exceeds 100% of GDP, while a shorter crisis-period interaction is directionally similar but less precise. Sovereign ratings therefore appear to combine a common fundamentals core with discretionary overlays that markets treat as economically relevant signals.

The effects of the war in Ukraine on the equity market in Poland

This study investigates the association between the Russia-Ukraine war and the Polish stock market, distinguishing between energy price exposure and a geopolitical sentiment channel. Using daily data from 1 November 2021 to 31 January 2025 within a GARCH framework, it analyses return dynamics across sectoral indices. Energy-related sectors are more sensitive to oil, gas, and coal price movements, while firms linked to Ukraine appear exposed to gas-market fluctuations. A sentiment proxy based on Google searches for ‘Ukraine’ is associated with short-term declines in returns, followed by partial reversals, consistent with temporary overreaction, and coincides with movements in energy markets. Robustness checks confirm these patterns. The findings suggest that observed dynamics may be related to both energy-price developments and shifts in investor attention and uncertainty. Energy prices and sentiment factors may be relevant for risk assessment, with short-term reactions informative for trading and risk management.

Russian stock market: corporate events, budget risks and the debt market

This article analyzes the current situation on the Russian stock market, characterized by negative dynamics in key indices, declining share prices of major issuers, and growing tensions in the corporate debt segment. The reasons for the precipitous decline in individual company shares are examined, related to dividend policy revisions and changing investment expectations. Particular attention is paid to the situation in the commodities sector, including the influence of geopolitical factors and the global oil market situation. The article analyzes the dynamics of government bonds, budget risks, and possible adjustments to the Bank of Russia's monetary policy. Corporate governance issues, technical defaults, and recommendations for private investors on choosing debt instruments amid ongoing uncertainty are also considered. It concludes that market pressure remains persistent and a cautious mood prevails among participants.