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Applied Economics Letters Volume 20, 2013 - Issue 18
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Original Articles

Measuring time-varying equity risk premium in the context of financial crisis: do developed and emerging markets differ?

Hachmi Ben AmeurINSEEC Business School, Finance, Paris, France
,
Yacouba GnégnéFrance Business School –Campus Amiens & University of Auvergne, Amiens, France
&
Fredj JawadiUniversity of Evry & France Business School – Amiens Campus, Evry, FranceCorrespondence[email protected]
Pages 1673-1677 | Published online: 23 Sep 2013
 
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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.

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