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The equity risk premium: emerging versus developed markets

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  • Salomons, Roelof
  • Grootveld, Henk

    (Groningen University)

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.

Suggested Citation

  • Salomons, Roelof & Grootveld, Henk, 2002. "The equity risk premium: emerging versus developed markets," Research Report 02E45, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:02e45
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    File URL: http://irs.ub.rug.nl/ppn/252290364
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    References listed on IDEAS

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    Cited by:

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    2. Bratanova, Alexandra & Robinson, Jacqueline & Wagner, Liam, 2016. "New technology adoption for Russian energy generation: What does it cost? A case study for Moscow," Applied Energy, Elsevier, vol. 162(C), pages 924-939.
    3. Sharkasi, Adel & Crane, Martin & Ruskin, Heather J. & Matos, Jose A., 2006. "The reaction of stock markets to crashes and events: A comparison study between emerging and mature markets using wavelet transforms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 368(2), pages 511-521.
    4. 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 4-2013, School of Economics, University of Queensland, Australia.
    5. Çukur, Sadik & Eryiğit, Mehmet & Eryiğit, Resul, 2007. "Cross correlations in an emerging market financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 555-564.

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