Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.12188/4953
Title: Ex-ante equity risk premia: Expectational estimates using stock market returns forecasts in the emerging equity market
Authors: Naumoski, Aleksandar 
Nestorovski, Metodija
Keywords: emerging markets, forecast, market returns, risk-free rate, expected equity risk premium, goodness-of-fit test
Issue Date: 2018
Publisher: Savez Ekonomista Vojvodine
Source: Naumoski A., & Nestorovski M. (2018). Ex-ante Equity Risk Premia: Expectational Estimates Using Stock Market Returns Forecasts in the Emerging Equity Market. Panoeconomicus, 65(4), 479-507
Journal: Panoeconomicus
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
URI: http://hdl.handle.net/20.500.12188/4953
DOI: 10.2298/PAN130925004N
Appears in Collections:Faculty of Economics 03: Journal Articles / Статии во научни списанија

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