A SCENARIO ANALYSIS OF THE RISK PREMIUM IN G7 COUNTRIES

Mohammed Omran and John Pointon ()
Additional contact information
John Pointon: Plymouth Business School, University of Plymouth, Drake Circus, Plymouth PL4 8AA, UK

International Journal of Theoretical and Applied Finance (IJTAF), 2008, vol. 11, issue 07, 673-689

Abstract: In this investigation over 144,000 simulations are undertaken of country equity risk premia, based on a scenario analysis of the uncertainty surrounding the period of non-sustainable growth in earnings and stock returns. Final estimates, from the larger data-sets in Japan, the US and the UK, are around 3–6% in nominal terms, and compare well with other methodologies. However, except for Canada, the smaller data-sets in France, Germany and Italy reveal much higher risk premia than expected. Furthermore, given the spreads in estimates generally, the issue of sustainability is still contentious.

Keywords: Risk premium; growth; G7; earnings; returns (search for similar items in EconPapers)
Date: 2008
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024908004981
Access to full text is restricted to subscribers

Related works:
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:wsi:ijtafx:v:11:y:2008:i:07:n:s0219024908004981

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024908004981

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().