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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

References

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  • De Santis, G. and Imrohoroglu, S. (1997) Stock returns and volatility in emerging financial markets, Journal of International Money and Finance, 16, 561–79.
  • Engle, R., Lilien, D. and Robins, R. (1987) Estimating time varying risk premia in the term structure: the ARCH-M model, Econometrica, 55, 391–407.
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  • French, K. R., Schwert, G. W. and Stambaugh, R. F. (1987) Expected stock returns and volatility, Journal of Financial Economics, 19, 3–29.
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  • Jawadi, F. and Arouri, M. (2012) Evolution of the US stock market premium in periods of crisis, Bankers, Markets and Investors, 120, 12–20.
  • Pastor, L. and Stambaugh, R. (2001) The equity premium and structural breaks, Journal of Finance, 56, 1207–39.
  • Siegel, J. (2005) Perspectives on the equity risk premium, Financial Analysts Journal, 61, 61–73.
  • Siegel, J. and Thaler, R. (1997) The equity premium puzzle, Journal of Economic Perspectives, 11, 191–200.

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