Information environment and equity risk premium volatility around the world

• Main Authors: Lau, Sie Ting, Ng, Lilian, Zhang, Bohui
• 其他作者: Nanyang Business School
• 格式: Article
• 語言: English
• 出版: 2013
• 在線閱讀: https://hdl.handle.net/10356/96135; http://hdl.handle.net/10220/17304

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...