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On the determinants of equity international risk premium : Are emerging zones different ?

Author

Listed:
  • Khaled Guesmi
  • Ilyes Abid
  • Mohamed Hedi Arouri
  • Frédéric 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 curren

Suggested Citation

  • Khaled Guesmi & Ilyes Abid & Mohamed Hedi Arouri & Frédéric Teulon, 2014. "On the determinants of equity international risk premium : Are emerging zones different ?," Working Papers 2014-322, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-322
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    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_322.pdf
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    References listed on IDEAS

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    8. Guesmi, Khaled & Nguyen, Duc Khuong, 2011. "How strong is the global integration of emerging market regions? An empirical assessment," Economic Modelling, Elsevier, vol. 28(6), pages 2517-2527.
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    Cited by:

    1. Guesmi, Khaled & Kablan, Sandrine, 2015. "Financial integration and Japanese stock market," MPRA Paper 70206, University Library of Munich, Germany.
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    More about this item

    Keywords

    CAPM; risk premium; financial markets; emerging markets.;
    All these keywords.

    JEL classification:

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

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