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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
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Related works:
Journal Article: Equity risk premium and regional integration (2013) Downloads
Working Paper: Equity Risk Premium and Regional Integration (2013) Downloads
Working Paper: Equity Risk Premium and Regional Integration (2013) Downloads
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