Estimating the Market Risk Premium Using Data from Multiple Markets.

• Autores: Martin Lally, John Randal
• Localización: Economic record, ISSN 0013-0249, Vol. 91, Nº. 294, 2015, págs. 324-337
• Idioma: inglés
• DOI: 10.1111/1475-4932.12190
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• Resumen

  • This paper develops an estimator for a country's market risk premium that involves optimally combining an estimator based upon only local data and the cross-country average of these estimators. The analysis suggests that the usual practice of invoking only local data to estimate a country's market risk premium is significantly inferior to the use of a cross-country average or a combined estimator with high weighting on the cross-country average.