Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/47303
Title: Essay on international financial markets
Authors: Zhang, Bohui
Keywords: DRNTU::Business::Finance
Issue Date: 2009
Source: Zhang, B. H. (2009). Essay on international financial markets. Doctoral thesis, Nanyang Technological University, Singapore.
Abstract: This dissertation consists of three essays. The first essay explores the underlying economic forces that drive the variation in risk premia around the world. It examines whether and how differences in the investors' information environment affect cross-country differences in the volatility of equity risk premia. We use the variance-decomposition approach and implied cost of capital method to estimate time variation in risk premia for 40 developed and developing countries 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 previously found to be good predictors of risk premia. Our further analysis of an exogenous event, specifically the 1997 Asian financial crisis, corroborates our finding that a country's information environment plays an important role in explaining the volatility of its market risk premium.
Description: 163 p.
URI: https://hdl.handle.net/10356/47303
DOI: 10.32657/10356/47303
Rights: Nanyang Technological University
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

Files in This Item:
File Description SizeFormat 
NBS_THESES_10.pdf24.59 MBAdobe PDFThumbnail
View/Open

Page view(s) 50

427
Updated on Jun 23, 2021

Download(s) 10

417
Updated on Jun 23, 2021

Google ScholarTM

Check

Altmetric


Plumx

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.