|
| |
| 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 |
|
