文章基本信息

标题：On the Determinants of Equity International Risk Premium: Are Emerging Zones Different?
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作者：Khaled Guesmi ; Mohamed Hedi Arouri ; Ilyes Abid 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2013
卷号：33
期号：1
页码：597-611
出版社：Economics Bulletin
摘要：This article contributes to the financial literature by investigating the formation of the international stock risk premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that the currency risk premium is the most important component of the total premium followed by the global market premium. As for the regional risk, our findings show that it is significantly priced for all studied emerging regions but its contribution to the total risk premium is weak.
关键词：international asset pricing; equity risk premium; financial integration; emerging markets; multivariate GARCH