All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Khaled Guesmi, Mohamed Hedi Arouri, Ilyes Abid and Frédéric Teulon
 
''On the Determinants of Equity International Risk Premium: Are Emerging Zones Different?''
( 2013, Vol. 33 No.1 )
 
 
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.
 
 
Keywords: international asset pricing, equity risk premium, financial integration, emerging markets, multivariate GARCH
JEL:
F5 - International Relations and International Political Economy: General
 
Manuscript Received : Dec 24 2012 Manuscript Accepted : Mar 05 2013

  This abstract has been downloaded 1402 times                The Full PDF of this paper has been downloaded 103907 times