 Panel data approach to identify factors correlated with equity market risk premiums in developed and emerging marketsMohamed Ariff () and Vijaya B. Marisetty Quantitative Finance, 2012, vol. 12, issue 1, 107-118 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. Date: 2012 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:12:y:2012:i:1:p:107-118 Ordering information: This journal article can be ordered from DOI: 10.1080/14697688.2010.489566 Access Statistics for this article Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral More articles in Quantitative Finance from Taylor & Francis Journals |
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