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Equity Market Risk Premium: Emerging and Frontier Markets

Sani, Arash LU (2010) NEKM03 20101
Department of Economics
Abstract (Swedish)
This research paper focuses on historical, arithmetic equity market risk premium in emerging and frontier markets. Equity market risk premium, as we know it today, has been easily estimated in developed markets; whereas, emerging and frontier markets often require different approaches to determine an appropriate equity market risk premium. I make use of a variety of methods, including volatility and sovereign spreads, to implement a country risk premium supplemental to an established equity market risk premium as a base, USA. I derive the equity market risk premium for five emerging and five frontier markets and test the degree of integration those markets have with the US. Finally, with the mindset of a US-based investor, I am able to... (More)
This research paper focuses on historical, arithmetic equity market risk premium in emerging and frontier markets. Equity market risk premium, as we know it today, has been easily estimated in developed markets; whereas, emerging and frontier markets often require different approaches to determine an appropriate equity market risk premium. I make use of a variety of methods, including volatility and sovereign spreads, to implement a country risk premium supplemental to an established equity market risk premium as a base, USA. I derive the equity market risk premium for five emerging and five frontier markets and test the degree of integration those markets have with the US. Finally, with the mindset of a US-based investor, I am able to tabulate the data and interpret a favorable market to approach for diversification and return benefits. (Less)
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author
Sani, Arash LU
supervisor
organization
course
NEKM03 20101
year
type
H1 - Master's Degree (One Year)
subject
keywords
Equity market risk premium, emerging markets, frontier markets, integration, correlation, Beta, Sharpe Ratio
language
English
id
1668818
date added to LUP
2010-09-08 15:33:54
date last changed
2011-03-11 11:08:09
@misc{1668818,
  abstract     = {This research paper focuses on historical, arithmetic equity market risk premium in emerging and frontier markets. Equity market risk premium, as we know it today, has been easily estimated in developed markets; whereas, emerging and frontier markets often require different approaches to determine an appropriate equity market risk premium. I make use of a variety of methods, including volatility and sovereign spreads, to implement a country risk premium supplemental to an established equity market risk premium as a base, USA. I derive the equity market risk premium for five emerging and five frontier markets and test the degree of integration those markets have with the US. Finally, with the mindset of a US-based investor, I am able to tabulate the data and interpret a favorable market to approach for diversification and return benefits.},
  author       = {Sani, Arash},
  keyword      = {Equity market risk premium,emerging markets,frontier markets,integration,correlation,Beta,Sharpe Ratio},
  language     = {eng},
  note         = {Student Paper},
  title        = {Equity Market Risk Premium: Emerging and Frontier Markets},
  year         = {2010},
}