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The Equity Premium Puzzle, Ambiguity Aversion, and Institutional Quality
S. Nuri Erbas
Abbas Mirakhor
出版
International Monetary Fund
, 2007-09
主題
Business & Economics / General
Business & Economics / Finance / General
Business & Economics / Investments & Securities / Stocks
ISBN
1451867948
9781451867947
URL
http://books.google.com.hk/books?id=YWu3AAAAIAAJ&hl=&source=gbs_api
註釋
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.
