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

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Наслов:	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