Estimating the Equity Risk Premium for Economies in the Asian Region

Michael Brian Cohen

Abstract


The Equity Risk Premium (ERP) is widely used in economic and financial analysis, yet it is difficult to find empirical estimates of the ERP that are generally accepted. The paucity of data in Asian economies exacerbates the problems of estimation.  This study estimates the ERP for the larger market-orientated Asian economies and compares the estimates with those of the United States. Surprisingly, of the seven economies examined, the ERP of four cannot be statistically differentiated from that of the United States.

Keywords: Equity risk premium, Asian economies, Estimation

JEL Classifications: G11, G12, E42

 


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DOI: http://dx.doi.org/10.5296/ajfa.v1i1.86

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