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

Naumoski, Aleksandar; Nestorovski, Metodija

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DC Field	Value	Language
dc.contributor.author	Naumoski, Aleksandar	en_US
dc.contributor.author	Nestorovski, Metodija	en_US
dc.date.accessioned	2019-11-05T11:09:59Z	-
dc.date.available	2019-11-05T11:09:59Z	-
dc.date.issued	2018	-
dc.identifier.citation	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	en_US
dc.identifier.uri	http://hdl.handle.net/20.500.12188/4953	-
dc.description.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	en_US
dc.language.iso	en	en_US
dc.publisher	Savez Ekonomista Vojvodine	en_US
dc.relation.ispartof	Panoeconomicus	en_US
dc.subject	emerging markets, forecast, market returns, risk-free rate, expected equity risk premium, goodness-of-fit test	en_US
dc.title	Ex-ante equity risk premia: Expectational estimates using stock market returns forecasts in the emerging equity market	en_US
dc.type	Journal Article	en_US
dc.identifier.doi	10.2298/PAN130925004N	-
item.grantfulltext	open	-
item.fulltext	With Fulltext	-
crisitem.author.dept	Faculty of Economics	-
Appears in Collections:	Faculty of Economics 03: Journal Articles / Статии во научни списанија