Ex-ante equity risk premia: Expectational estimates using stock market returns forecasts in the emerging equity market

Journal
Panoeconomicus
Date Issued
2018
Author(s)
Nestorovski, Metodija
DOI
10.2298/PAN130925004N
Abstract
We estimated the ex-ante equity risk premium for the Republic of Macedonia, which is a young, small and open emerging market. We polled academics and practitioners for their expectations on the stock market index MBI10 as a proxy for market portfolio. The risk premium is the expected MBI10 return relative to a government bond yield. Using the Kolmogorov–Smirnov and Anderson–Darling goodness-of-fit tests we determined the best fitted statistical distribution, and consequently estimated the short-term ERP of 8.55 and long-term average ERP for the next 10 years of 7.76. The estimated ex-ante ERP is higher and similar as it is in the other emerging markets
Subjects

emerging markets, for...

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Naumoski&Nestorovski, PANOECONOMICUS, 2018, Vol. 65, Issue 4, pp. 479-507.pdf

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