On the Determinants of Equity International Risk Premium: Are Emerging Zones Different?
AbstractThis article contributes to the financial literature by investigating the formation of the international stock risk premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that the currency risk premium is the most important component of the total premium followed by the global market premium. As for the regional risk, our findings show that it is significantly priced for all studied emerging regions but its contribution to the total risk premium is weak.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 33 (2013)
Issue (Month): 1 ()
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international asset pricing; equity risk premium; financial integration; emerging markets; multivariate GARCH;
Other versions of this item:
- Khaled Guesmi & Ilyes Abid & Mohamed Hedi Arouri & Frédéric Teulon, 2014. "On the determinants of equity international risk premium : Are emerging zones different ?," Working Papers 2014-322, Department of Research, Ipag Business School.
- F0 - International Economics - - General
- F5 - International Economics - - International Relations, National Security, and International Political Economy
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