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Determinants Of Cross-Country Differences In The Equity Risk Premium: A Cross-Sectional Analysis, William John Arant
Determinants Of Cross-Country Differences In The Equity Risk Premium: A Cross-Sectional Analysis, William John Arant
Theses and Dissertations
The equity risk premium (ERP) is a critical factor in financial decision-making and allocating capital for the future. The ERP can indicate the aggregate risk in an economy and thereby the price agents attach to that risk. Understanding the factors that determine ERPs across countries is important for understanding investors’ actions in a globalized environment. This study will focus on long-run measures of the ERP across countries while applying four common measures. Variations in the size of the ERP across countries and across measures will be examined. Then, country-specific determinants of the long-run ERP will be investigated. These determinants include …
Can Animal Spirits Solve The Forward Premium Puzzle?, Anthony Paul Shkrelja
Can Animal Spirits Solve The Forward Premium Puzzle?, Anthony Paul Shkrelja
Wayne State University Dissertations
This dissertation decomposes, discusses, and ventures to solve an international macroeconomic anomaly known as the "Forward Premium Puzzle" into three main chapters. Chapter 1 explores the state of research pertaining to the Forward Premium Puzzle, which derives from a failure in the Uncovered Interest Parity (UIP). The body of literature is split into three branches i. Those works advocating the presence of an anomaly due to assumption of Rational Expectations, ii. Works preserving the assumption of Rational Expectations and instead discuss a bias due to Risk Premia, and iii. Research focused on econometric implementation of the forward premium estimator. Furthermore, …