The Risky Capital of Emerging Markets

Felix Gerding, Espen Henriksen and Ina Simonovska
Authors registered in the RePEc Author Service: Joel David

No 20769, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We build a panel of stock market returns across 37 developed and developing countries spanning five decades. We document: (1) higher and more volatile returns in poorer countries; (2) higher returns in countries whose dividends are more sensitive to global predictable growth. We quantitatively explore whether consumption-based long-run risk can reconcile these patterns. Estimating the parameters governing U.S. investor consumption growth and each market’s dividend growth process, we find that the model generates higher risk premia in emerging than developed markets, and accounts for a substantial part of the cross-country variation in mean stock market returns and their volatilities.

JEL-codes: E22 F21 G12 O4 (search for similar items in EconPapers)
Date: 2014-12
New Economics Papers: this item is included in nep-mac and nep-opm
Note: AP DEV EFG IFM ITI PR
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.nber.org/papers/w20769.pdf (application/pdf)

Related works:
Working Paper: The Risky Capital of Emerging Markets (2016)
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:nbr:nberwo:20769

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w20769

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().