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Estimating the Market Risk Premium Using Data from Multiple Markets

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  • Martin Lally
  • John Randal

Abstract

type="main" xml:id="ecor12190-abs-0001"> This paper develops an estimator for a country's market risk premium that involves optimally combining an estimator based upon only local data and the cross-country average of these estimators. The analysis suggests that the usual practice of invoking only local data to estimate a country's market risk premium is significantly inferior to the use of a cross-country average or a combined estimator with high weighting on the cross-country average.

Suggested Citation

  • Martin Lally & John Randal, 2015. "Estimating the Market Risk Premium Using Data from Multiple Markets," The Economic Record, The Economic Society of Australia, vol. 91(294), pages 324-337, September.
    • Handle: RePEc:bla:ecorec:v:91:y:2015:i:294:p:324-337
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    File URL: http://hdl.handle.net/10.1111/ecor.2015.91.issue-294
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