صرف ریسک حقوق صاحبان سهام: بازارهای در حال ظهور در مقابل بازارهای توسعه یافته

This article gives an empirical view of the ex post equity risk premium in a number of international markets with special attention to emerging ones. Our study yields interesting implications for finance. Conform expectations we find that the equity risk premium in emerging markets is significantly higher than in developed markets. However, the extent to which emerging stock markets reward investors varies through time. We observe that the time varying nature of the equity risk premium relates more to economic cycles than to the presence of some sort of structural break based on stock market liberalisations. The distribution of equity risk premium in emerging market is neither normally nor symmetrically distributed, which suggests that investors should focus more on downside risk instead of standard deviations.