The equity risk premium: emerging versus developed markets

Roelof Salomons and Henk Grootveld
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Henk Grootveld: Groningen University

No 02E45, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)

Abstract: This paper gives an empirical view of the ex-post equity risk premium in a number of international markets with special attention to emerging ones. Our study yields interesting implications for finance. Firstly, we find that the equity risk premium in emerging markets is significantly higher than in developed markets. Secondly, the extent to which emerging stock markets reward investors is varying through time. We cannot link this time varying nature with the presence of a structural break based on stock market liberalisations, but observe that the differences are of a more cyclical nature.

Date: 2002
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