An Investigation Into the Determinants of Equity Risk Premium During Emerging Market Financial Crises PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download An Investigation Into the Determinants of Equity Risk Premium During Emerging Market Financial Crises PDF full book. Access full book title An Investigation Into the Determinants of Equity Risk Premium During Emerging Market Financial Crises by Ahmad Rizal Mazlan. Download full books in PDF and EPUB format.
Author: Ahmad Rizal Mazlan
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Ahmad Rizal Mazlan
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Ahmad Rizal Mazlan
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 226
Get Book Here
Book Description
The flow of foreign portfolio investment in emerging markets is growing but is lower than market capitalization growth due to the relatively higher investment risk inherent in those markets. This is exacerbated by the fact that most emerging markets have been adversely affected, albeit with varying degree, by financial crises. As a central component in the risk and return concept, research in equity risk premium (ERP) is imperative, particularly if financial crisis dimension is coalesced into the study. Hence, this study is conducted to examine the characteristics and determinants of the equity risk premium in the emerging markets inflicted by various financial crises. In the first part, panel regressions are utilized to examine the determinants of ERP, while in the second part, event study methodology is used to investigate the immediate impact that financial crises had on the levels of ERP in the emerging markets. The findings in the overall panel regression are different from the findings in the group regressions that take into account the various crises and different time periods. Although GDP per capita growth rate and inflation rate are consistently positively significant in the overall regressions, the results do not persist in the crises-grouped regressions. These findings extend the current literature on the determinants of ERP as well as the characteristics of emerging market crises. In the event study analysis, the mixed results indicate that each emerging market is uniquely different in terms of how the ERP was affected at the onset of the crises. Furthermore, the grouped cumulative abnormal equity risk premium (CAERP) findings indicate that the crises also are distinctly different from each other. The Tequila crisis is the worst hit crisis, followed by the Russian crisis and the Asian crisis, as far as the CAERP findings are concerned. Furthermore, there are also differences in the results calculated using estimates from different regressions, namely, the OLS, ARCH and GMM regressions. Thus, the findings of this study have contributed to the current literature, as well as having practical implications to the practitioners such as fund managers and corporate managers who rely heavily on the equity risk premium as a key input in their decision-making processes.
Author: William N. Goetzmann
Publisher: Oxford University Press
ISBN: 019803377X
Category : Business & Economics
Languages : en
Pages : 568
Get Book Here
Book Description
What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
Author: Aswath Damodaran
Publisher:
ISBN:
Category : Equity
Languages : en
Pages : 370
Get Book Here
Book Description
Author: Ahmad Rizal Mazlan
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Aswath Damodaran
Publisher:
ISBN:
Category :
Languages : en
Pages : 114
Get Book Here
Book Description
Equity risk premiums are a central component of every risk and return model in finance and are a key input in estimating costs of equity and capital in both corporate finance and valuation. Given their importance, it is surprising how haphazard the estimation of equity risk premiums remains in practice. We begin this paper by looking at the economic determinants of equity risk premiums, including investor risk aversion, information uncertainty and perceptions of macroeconomic risk. In the standard approach to estimating equity risk premiums, historical returns are used, with the difference in annual returns on stocks versus bonds over a long time period comprising the expected risk premium. We note the limitations of this approach, even in markets like the United States, which have long periods of historical data available, and its complete failure in emerging markets, where the historical data tends to be limited and volatile. We look at two other approaches to estimating equity risk premiums - the survey approach, where investors and managers are asked to assess the risk premium and the implied approach, where a forward-looking estimate of the premium is estimated using either current equity prices or risk premiums in non-equity markets. In the next section, we look at the relationship between the equity risk premium and risk premiums in the bond market (default spreads) and in real estate (cap rates) and how that relationship can be mined to generated expected equity risk premiums. We close the paper by examining why different approaches yield different values for the equity risk premium, and how to choose the “right” number to use in analysis. (This is the seventh update of this piece. The first update was in the midst of the financial crisis in 2008 and there have been annual updates each year from 2009 through 2013.).
Author: Bradford Cornell
Publisher: John Wiley & Sons
ISBN: 9780471327356
Category : Business & Economics
Languages : en
Pages : 248
Get Book Here
Book Description
Das Thema Risikoprämie für Aktien (Equity Risk Premium) wird hier zum ersten Mal verständlich erklärt. Die Risikoprämie für Aktien stellt einen Renditeausgleich dar für das erhöhte Risiko, das ein Anleger bei der Investition in Aktien eingeht, im Vergleich zu einer Investition in risikofreie Staatsanleihen. Die Risikoprämie ist zwar von der Theorie her einfach, jedoch in der Praxis ein sehr komplexes Phänomen. Für Finanzentscheidungen ist es von größter Bedeutung, daß man das Prinzip der Risikoprämie versteht und es anwenden kann. Cornell erläutert das Thema Schritt für Schritt sehr anschaulich und ohne terminologischen Ballast. Zunächst wird die Risikoprämie im Zusammenhang mit der Geschichte des Aktienmarktes betrachtet. Der Haussemarkt der 90er dient dabei als Fallstudie. Cornell zeigt, welche Rückschlüsse man durch die Analyse der Risikoprämie im historischen Verlauf für den Aktienmarkt ziehen kann, z.B. ob Aktienkurse steigen oder fallen oder ob sich der Aktienmarkt verändert. Vorausschauende Schätzungen der Risikoprämie werden anhand verschiedener konkurrierender Modelle analysiert, wobei die Vorzüge der jeweiligen Methode mitbewertet werden. 'Equity Risk Premium' ist das erste Buch, das dieses wichtige Prinzip der Risiko-Nutzen-Analyse erschöpfend behandelt. Es vermittelt einen tiefen Einblick und deckt alle Grundlagen ab, damit Investoren fundierte Finanzentscheidungen treffen können. Ein absolutes Muß für institutionelle Anleger, Geldmanager und Finanzvorstände, die auf eine fundierte Marktanalyse zurückgreifen müssen. (06/99)
Author: Ming-Hsien Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 25
Get Book Here
Book Description
This paper investigates the dynamics among three non-equity factors, credit, illiquidity, and foreign exchange risks, and equity returns to explore the equity risk premium. Results from both VAR and EGARCHM models demonstrate that credit and liquidity risk premia and changes in exchange rates explain equity returns in Germany, Japan, the United Kingdom, and the United States during recent financial crises. More importantly, the traditional measure of the equity market risk premium ceases to be significant in explaining equity returns when these three non-equity factors are included in the model. Although its explaining power is significant in the US, its significant level is lower. Our results offer convincing evidence that these three non-equity factors explain the equity risk premium during financial crises.
Author: Michael Donadelli
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
Get Book Here
Book Description
The understanding of the Equity Risk Premium (ERP) and the Equity Premium Puzzle (Mehra and Prescott 1985), is still widely discussed in the economic and financial literature. The purpose of this paper is to show differences in the ERP between developed and emerging markets. Using data from both markets, we first provide an ex-post simple time series analysis on the ERP. Compared to developed markets, and in line with existing literature, we find that emerging markets compensate investors with higher returns. We observe that the time varying nature of the equity risk premium in emerging economies, relates mainly to economic cycles, shocks and other macro phenomena (i.e. global financial market integration). Basic statistics also show that during the last decade the ERP shrunk, especially in advanced economies. To improve investigations on the higher emerging markets' equity premium, a standard global asset pricing model is adopted. On one hand, we mainly find that the one-factor model does not fully characterize emerging markets' equity premia. On the other hand, we discover that the inclusion of liquidity conditions and time-varying components provides reasonable explanations for the behaviour of equity premia in these "young" markets. Our final findings mainly suggests that global business cycle and financial integration process are crucial in determining the risk associated to emerging markets' investments.
Author: Sie Ting Lau
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
Get Book Here
Book Description
This paper examines whether and how differences in investors' information environment are related to cross-country differences in the market risk premium volatility. We use the vector-autoregressive and implied cost of capital methods to extract time variation in risk premiums for 41 developed and emerging markets worldwide. Consistent with theoretical predictions, countries with better information environments tend to experience a lower risk premium volatility, even after controlling for various country variables that are potentially associated with variation in risk premiums. Our analysis of two exogenous events, specifically the 1997 Asian financial crisis and 2008 global financial crisis, further corroborates our key finding that the information environment plays an important role in explaining the market risk premium volatility.
