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Country Risk Premium: The Case of Chile

Author

Listed:
  • Zócimo Campos
  • Juan Tapia Gertosio
  • Paulina Natalia Gudaris

Abstract

Currently there is no agreed method to estimate the Risk Premium accurately, therefore, different authors arrive at significantly different results when calculating the risk premium for a given country or industry. This work estimates the risk premium of the Chilean stock market (PRM) for the period 1993-2020 using different estimation methodologies (Differential Returns, Implicit Return in Current Stock Prices). The results indicate, depending on the methodology used, a Premium for Risk that ranges between 1,91% and 10,28%, which shows the existence of a positive premium for assuming risk in Chile that ranges around 5,3%.

Suggested Citation

  • Zócimo Campos & Juan Tapia Gertosio & Paulina Natalia Gudaris, 2021. "Country Risk Premium: The Case of Chile," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(2), pages 317-344, September.
    • Handle: RePEc:col:000443:019738
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    File URL: https://revfinypolecon.ucatolica.edu.co/article/view/3977
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    References listed on IDEAS

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    More about this item

    Keywords

    Prize for risk; Profitability; Chile; Market; Financial Markets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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