Do Demographic Changes Affect Risk Premiums? Evidence from International Data

Andrew Ang and Angela Maddaloni

No 9677, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We examine the link between equity risk premiums and demographic changes using a very long sample over the twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for fifteen countries. We find that demographic variables significantly predict excess returns internationally. However, the demographic predictability found in the US by past studies for the average age of the population does not extend to other countries. Pooling international data, we find that, on average, faster growth in the fraction of retired persons significantly decreases risk premiums. This demographic predictability of risk premiums is strongest in countries with well-developed social security systems and lesser-developed financial markets.

JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2003-05
New Economics Papers: this item is included in nep-cfn
Note: AP
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Citations: View citations in EconPapers (20)

Published as Andrew Ang & Angela Maddaloni, 2005. "Do Demographic Changes Affect Risk Premiums? Evidence from International Data," Journal of Business, University of Chicago Press, vol. 78(1), pages 341-380, January.

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Journal Article: Do Demographic Changes Affect Risk Premiums? Evidence from International Data (2005)
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