On the Determinants of Equity International Risk Premium: Are Emerging Zones Different?

Khaled Guesmi, Mohamed Hedi Arouri (), Ilyes Abid () and Frédéric Teulon
Additional contact information
Mohamed Hedi Arouri: EDHEC Business School
Ilyes Abid: EconomiX, UMR CNRS 7166, University of Paris West, La Defense

Economics Bulletin, 2013, vol. 33, issue 1, 597-611

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 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 (search for similar items in EconPapers)
JEL-codes: F0 F5 (search for similar items in EconPapers)
Date: 2013-03-05
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: On the determinants of equity international risk premium: Are emerging zones different ? (2014)
Working Paper: On the Determinants of Equity International Risk Premium: Are Emerging Zones Differents? (2013)
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