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.
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|
|Pôle de recherche||Finance|