Panel data approach to identify factors correlated with equity market risk premiums in developed and emerging markets
AbstractTraditional time series or cross-sectional regression procedures yield mixed evidence on maintained hypotheses about the determinants of international equity returns. This paper re-examines how three theory-suggested factors affect equity returns and how the test results may differ between developed and the Asian emerging markets. However, on pooling observations, our estimated coefficients are much more accurate, and yield theory-consistent results. Using the panel data method, we find that the equity returns, specified as risk premiums of developed and emerging markets, appear to be determined by variations within the equity markets using all three theory-suggested factors. In the emerging Asian markets, the risk premiums are affected more by the variation over time in income growth while the variations in the other two factors affect the equity premiums as within market variation effects.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 12 (2012)
Issue (Month): 1 (April)
Contact details of provider:
Web page: http://www.tandfonline.com/RQUF20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.