Information environment and equity risk premium volatility around the world
This paper examines whether and how differences in investors' information environments (measured by a country's information disclosure, accounting standards, and financial transparency) are related to cross-country differences in the market risk premium volatility. We use the vector-autore...
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sg-ntu-dr.10356-961352023-05-19T06:44:42Z Information environment and equity risk premium volatility around the world Lau, Sie Ting Ng, Lilian Zhang, Bohui Nanyang Business School This paper examines whether and how differences in investors' information environments (measured by a country's information disclosure, accounting standards, and financial transparency) are related to cross-country differences in the market risk premium volatility. We use the vector-autoregressive and implied cost of capital methods to extract time variation in risk premiums for 41 developed and emerging markets worldwide. Consistent with theoretical predictions, countries with better information environments tend to experience a lower risk premium volatility, even after controlling for various country variables that are potentially associated with variation in risk premiums. Our analysis of two exogenous events, specifically the 1997 Asian financial crisis and 2008 global financial crisis, further corroborates our key finding that information environments play an important role in explaining market risk premium variability. 2013-11-05T06:52:25Z 2019-12-06T19:26:12Z 2013-11-05T06:52:25Z 2019-12-06T19:26:12Z 2012 2012 Journal Article Lau, S. T., Ng, L., & Zhang, B. (2012). Information Environment and Equity Risk Premium Volatility Around the World. Management Science, 58(7), 1322-1340. https://hdl.handle.net/10356/96135 http://hdl.handle.net/10220/17304 10.1287/mnsc.1110.1488 en Management science |
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This paper examines whether and how differences in investors' information environments (measured by a country's information disclosure, accounting standards, and financial transparency) are related to cross-country differences in the market risk premium volatility. We use the vector-autoregressive and implied cost of capital methods to extract time variation in risk premiums for 41 developed and emerging markets worldwide. Consistent with theoretical predictions, countries with better information environments tend to experience a lower risk premium volatility, even after controlling for various country variables that are potentially associated with variation in risk premiums. Our analysis of two exogenous events, specifically the 1997 Asian financial crisis and 2008 global financial crisis, further corroborates our key finding that information environments play an important role in explaining market risk premium variability. |
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Nanyang Business School |
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Nanyang Business School Lau, Sie Ting Ng, Lilian Zhang, Bohui |
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Lau, Sie Ting Ng, Lilian Zhang, Bohui |
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Lau, Sie Ting Ng, Lilian Zhang, Bohui Information environment and equity risk premium volatility around the world |
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Lau, Sie Ting |
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Information environment and equity risk premium volatility around the world |
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Information environment and equity risk premium volatility around the world |
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Information environment and equity risk premium volatility around the world |
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Information environment and equity risk premium volatility around the world |
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Information environment and equity risk premium volatility around the world |
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information environment and equity risk premium volatility around the world |
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2013 |
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https://hdl.handle.net/10356/96135 http://hdl.handle.net/10220/17304 |
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