Notes
1 In 2008, German, French and British stock markets lost more than 50% of their capitalization.
2 For a literature survey on Backward and Forward risk premium modelling, see Abou and Prat (Citation2010).
3 Abou and Prat (Citation2010) show that the US risk premium is both time-varying and horizon dependent.
4 We do not report the unit root test results to save space, but the results are available upon request.
5 The results are not reported to save space but are available upon request.