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On the Determinants of Equity International Risk Premium: Are Emerging Zones Differents?

Author

Listed:
  • Ilyes Abid
  • Mohamed El Hedi Arouri

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Khaled Guesmi
  • Frederic Teulon

Abstract

This article contributes to the financial literature by investigating the formation of the international stock risk premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that the currency risk premium is the most important component of the total premium followed by the global market premium. As for the regional risk, our findings show that it is significantly priced for all studied emerging regions but its contribution to the total risk premium is weak.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Ilyes Abid & Mohamed El Hedi Arouri & Khaled Guesmi & Frederic Teulon, 2013. "On the Determinants of Equity International Risk Premium: Are Emerging Zones Differents?," Post-Print hal-01410579, HAL.
    • Handle: RePEc:hal:journl:hal-01410579
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    References listed on IDEAS

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    Cited by:

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    More about this item

    JEL classification:

    • F0 - International Economics - - General
    • F5 - International Economics - - International Relations, National Security, and International Political Economy

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