Title

Factors correlated with equity market risk premiums in developed and emerging markets

Date of this Version

10-21-2010

Document Type

Journal Article

Publication Details

Interim status: Citation only.

Marisetty, V. B., & Ariff, M. (2010). Factors correlated with equity market risk premiums in developed and emerging markets. Quantitative finance, iFirst, pp. 1-29.

Access the publisher's website.

Access the Working Paper.

© Copyright 2010 Taylor & Francis Group

Abstract

Traditional time series or cross-sectional regression procedures yield mixed evidence on maintained hypotheses about the determinants of international equity returns. This paper re-examines how three theory-suggested factors affect equity returns and how the test results may differ between developed and the Asian emerging markets. However, on pooling observations, our estimated coefficients are much more accurate, and yield theory-consistent results. Using the panel data method, we find that the equity returns, specified as risk premiums of developed and emerging markets, appear to be determined by variations within the equity markets using all three theory-suggested factors. In the emerging Asian markets, the risk premiums are affected more by the variation over time in income growth while the variations in the other two factors affect the equity premiums as within market variation effects.

This document is currently not available here.

Share

COinS
 

This document has been peer reviewed.