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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 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Naumoski&Nestorovski, PANOECONOMICUS, 2018, Vol. 65, Issue 4, pp. 479-507.pdf | 702.38 kB | Adobe PDF |  View/Open |
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