Musings on Markets

OCTOBER 4, 2023

Price of Risk The drop in stock and bond prices in the third quarter of 2023 can partly be attributed to rising interest rates, but how much of that drop is due to the price of risk changing? below the actual index level of 4288, making it close to fairly valued. below the index value of 4288, confirming my base case conclusion.

Marketability 104

Marketability Start-ups Risk Premium Treasury 104

Musings on Markets

JANUARY 24, 2024

It is entirely possible that there will be a recession in 2024 or even in 2025, but what good is a signal that is two or three years ahead of what it is signaling? At the same time, not only has a recession not made its presence felt, but the economy showed signs of strengthening towards the end of the year.

Treasury 52

Treasury Risk Premium Start-ups Risk-free Rate 52

Musings on Markets

JANUARY 17, 2024

To capture the market's mood, I back out the expected return (and equity risk premium) that investors are pricing in, through an implied equity risk premium: Put simply, the expected return is an internal rate of return derived from the pricing of stocks, and the expected cash flows from holding them, and is akin to a yield to maturity on bonds.

Risk Premium 77

Risk Premium Start-ups Equity Treasury 77

Musings on Markets

JULY 17, 2023

Exacerbating the pain, corporate default spreads rose during the course of 2022: While default spreads rose across ratings classes, the rise was much more pronounced for the lowest ratings classes, part of a bigger story about risk capital that spilled across markets and asset classes.

Marketability 95

Marketability Risk Premium Start-ups Treasury 95