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Information environment and equity risk premium volatility around the world / Sie Ting Lau in Management science, Vol. 58 N° 7 (Juillet 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 7 (Juillet 2012) . - pp.1322-1340 Titre : Information environment and equity risk premium volatility around the world Type de document : texte imprimé Auteurs : Sie Ting Lau, Auteur ; Lilian Ng, Auteur ; Bohui Zhang, Auteur Année de publication : 2012 Article en page(s) : pp.1322-1340 Note générale : Management Langues : Anglais (eng) Mots-clés : Market  risk  premium  volatility  Information  environments  Implied  cost  of  capital  VAR Résumé : 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. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/02/27/mnsc.1110.1488.abstra [...] [article] Information environment and equity risk premium volatility around the world [texte imprimé] / Sie Ting Lau, Auteur ; Lilian Ng, Auteur ; Bohui Zhang, Auteur . - 2012 . - pp.1322-1340. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 7 (Juillet 2012) . - pp.1322-1340 Mots-clés : Market  risk  premium  volatility  Information  environments  Implied  cost  of  capital  VAR Résumé : 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. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/02/27/mnsc.1110.1488.abstra [...]