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The equity risk premium: emerging versus developed markets

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  • Salomons, Roelof
  • Grootveld, Henk

    (Groningen University)

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    Abstract

    This paper gives an empirical view of the ex-post equity risk premium in a number of international markets with special attention to emerging ones. Our study yields interesting implications for finance. Firstly, we find that the equity risk premium in emerging markets is significantly higher than in developed markets. Secondly, the extent to which emerging stock markets reward investors is varying through time. We cannot link this time varying nature with the presence of a structural break based on stock market liberalisations, but observe that the differences are of a more cyclical nature.

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    File URL: http://irs.ub.rug.nl/ppn/252290364
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    Bibliographic Info

    Paper provided by University of Groningen, Research Institute SOM (Systems, Organisations and Management) in its series Research Report with number 02E45.

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    Date of creation: 2002
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    Handle: RePEc:dgr:rugsom:02e45

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    1. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
    2. Bekaert, Geert, 1995. "Market Integration and Investment Barriers in Emerging Equity Markets," World Bank Economic Review, World Bank Group, World Bank Group, vol. 9(1), pages 75-107, January.
    3. Reinhart, Carmen & Calvo, Guillermo & Leiderman, Leonardo, 1993. "“Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors," MPRA Paper 7125, University Library of Munich, Germany.
    4. Grootveld, Henk & Hallerbach, Winfried, 1999. "Variance vs downside risk: Is there really that much difference?," European Journal of Operational Research, Elsevier, Elsevier, vol. 114(2), pages 304-319, April.
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    Cited by:
    1. Alexandra Bratanova & Jacqueline Robinson & Liam Wagner, 2013. "New Technology Adoption for Russian Regional Energy Generation: Moscow Case Study," Energy Economics and Management Group Working Papers, School of Economics, University of Queensland, Australia 4-2013, School of Economics, University of Queensland, Australia.
    2. Alexandra Bratanova & Jacqueline Robinson & Liam Wagner, 2012. "Energy cost modelling of new technology adoption for Russian regional power and heat generation," Energy Economics and Management Group Working Papers, School of Economics, University of Queensland, Australia 9-2012, School of Economics, University of Queensland, Australia.

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