This research paper examines the differences in the equity risk premium between developed and emerging markets. It observes the time varying nature of the equity risk premium in emerging economies, relates mainly to economic cycles, shocks and other macro phenomena (ie global financial market integration). Basic statistics also show that during the last decade the ERP shrunk, especially in advanced economies. To improve investigations on the higher emerging markets’ equity premium, a standard global asset pricing model is adopted.
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The Equity Risk Premium -Empirical Evidence from Emerging Markets
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