Equity Market Risk Premium: Emerging and Frontier Markets
(2010) NEKM03 20101Department 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)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1668818
- author
- Sani, Arash LU
- supervisor
- organization
- course
- NEKM03 20101
- year
- 2010
- 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}}, language = {{eng}}, note = {{Student Paper}}, title = {{Equity Market Risk Premium: Emerging and Frontier Markets}}, year = {{2010}}, }