Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963333 | Journal of International Financial Markets, Institutions and Money | 2006 | 25 Pages |
Abstract
This paper examines the equity premium puzzle by looking at stock market data from 39 countries. For each of these countries, average total return as well as excess returns was estimated for the past 20-30 years. I find that emerging markets have higher excess returns than developed markets, but when adjusted for risk developed markets have higher returns. I test the theory that degree of integration with global markets is a major explanatory factor for differences in excess returns, as the demand for domestic equities may be greater in countries that are less integrated and thus have less access to alternative overseas assets. I find a positive relationship between degree of integration and excess returns, which is evidence in favor of this theory.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Joshua D. Shackman,