English, Article edition: A SCENARIO ANALYSIS OF THE RISK PREMIUM IN G7 COUNTRIES MOHAMMED OMRAN; JOHN POINTON

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Bookmark: http://trove.nla.gov.au/version/83415
Physical Description
  • article
Language
  • English

Edition details

Title
  • A SCENARIO ANALYSIS OF THE RISK PREMIUM IN G7 COUNTRIES
Author
  • MOHAMMED OMRAN
  • JOHN POINTON
Physical Description
  • article
Notes
  • In this investigation over 144,000 simulations are undertaken of country equity risk premia, based on a scenario analysis of the uncertainty surrounding the period of non-sustainable growth in earnings and stock returns. Final estimates, from the larger data-sets in Japan, the US and the UK, are around 3â6% in nominal terms, and compare well with other methodologies. However, except for Canada, the smaller data-sets in France, Germany and Italy reveal much higher risk premia than expected. Furthermore, given the spreads in estimates generally, the issue of sustainability is still contentious.
  • Risk premium, growth, G7, earnings, returns
  • RePEc:wsi:ijtafx:v:11:y:2008:i:07:p:673-689
Language
  • English
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