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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
| Type: | Working paper |
|---|---|
| Date: | le 04/05/2009 |
| Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu ] Les opinions exprimées sont celles des auteurs et n'engagent pas la responsabilité de l'EDHEC. |
| Research Cluster : | Finance |
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Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools, ranked 1st worldwide for its Master in Finance. 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. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
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