Equity Risk Premium and Regional Integration

Mohamed Arouri, Frédéric Teulon and Christophe Rault

No 2014-371, Working Papers from Department of Research, Ipag Business School

Abstract: This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level.

Keywords: asset pricing; regional integration; equity risk premium. (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://faculty-research.ipag.edu/wp-content/uploa ... IPAG_WP_2014_371.pdf (application/pdf)

Related works:
Journal Article: Equity risk premium and regional integration (2013)
Working Paper: Equity Risk Premium and Regional Integration (2013)
Working Paper: Equity Risk Premium and Regional Integration (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ipg:wpaper:2014-371

Access Statistics for this paper

More papers in Working Papers from Department of Research, Ipag Business School Contact information at EDIRC.
Bibliographic data for series maintained by Ingmar Schumacher ().