European Parliament Library

The Equity Premium Puzzle, Ambiguity Aversion, and Institutional Quality, Abbas Mirakhor, S. Erbas

Contributor
Abstract
With cross-section data from 53 emerging and mature markets, we provide evidence that equity premium puzzle is a global phenomenon. In addition to risk aversion, equity premium may reflect ambiguity aversion. We explore the sources of equity premium using some pertinent fundamental independent variables, as well as the World Bank institutional quality indexes and other proxies for the degree of ambiguity in the sample countries. Some World Bank and other indexes are statistically significant, which indicates that a large part of equity premium may reflect investor aversion to ambiguities resulting from institutional weaknesses
Table Of Contents
Contents; I. Introduction; II. Equity Premium is a Global Phenomenon; A. Description of Data and Measurement; Tables; 1. Average Equity Premium, Stock Market and Safe Asset Return in the Sample Countries; 2. Average Equity Premium, Stock Market and Safe Asset Return, 1996-05; B. Main Observations; Charts; 1. Equity Premium, Stock Market and Safe Asset Return in the Sample Countries, 1996-05; 2. Average Equity Premium, Stock Market and Safe Asset Return,Yearly Country Sample Averages, 1996-05; 3. Equity Premium, Stock Market Return, and Safe Asset Return, Sample Correlations
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (60 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9786613820242

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