- Why EDHEC
- All programmes
- Executive Education
- Research and Innovation
-
Companies and careers
Working with and for companiesThe company is the focal point of EDHEC’s plan, and its reason for being.
- EDHEC Experience
Forecasting changes in equity risk premia of international markets: An error correction approach
We use an error correction model in order to predict the changes in equity risk premia for a set of emerging markets and the US market.
Author(s):
Professor of Finance, ICMA Centre, University of Reading (UK)
Research Associate, EDHEC Risk and Asset Management Research Centre
We analyze the period 2001-2006 for different forecasting horizons and consider different sub-samples. Using fundamental financial ratios and including variables such as the implied volatility of the S&P 500 index, we find some evidence of predictability of equity risk premia for these markets. Other preliminary results include the tests of stationarity for all the variables and we find evidence of cointegration among some of the variables.
| Type: | Working paper |
|---|---|
| Date: | le 04/05/2009 |
| Research Cluster : | Finance |
See Also
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
