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The Equity Market Risk Premium and the Valuation of Overseas Investments

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  • Luc Soenen
  • Robert Johnson

Abstract

There is little agreement among academics or practitioners about how to measure the size of the equity market risk premium, particularly when it relates to investments in emerging markets. Using monthly equity returns for 22 developed and 24 emerging markets covering the period 1976-2006, the authors find that developed capital markets have experienced significant increases in their degree of integration with the U.S. and world market indexes, while emerging markets remain at least partly segmented from those of the U.S. and the world. Copyright (c) 2008 Morgan Stanley.

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  • Luc Soenen & Robert Johnson, 2008. "The Equity Market Risk Premium and the Valuation of Overseas Investments," Journal of Applied Corporate Finance, Morgan Stanley, vol. 20(2), pages 113-121.
  • Handle: RePEc:bla:jacrfn:v:20:y:2008:i:2:p:113-121
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1745-6622.2008.00185.x
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    Cited by:

    1. Roggi, Oliviero & Giannozzi, Alessandro & Baglioni, Tommaso, 2017. "Valuing emerging markets companies: New approaches to determine the effective exposure to country risk," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 553-567.

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