The Equity Market Risk Premium and the Valuation of Overseas Investments
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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Volume (Year): 20 (2008)
Issue (Month): 2 ()
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