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Estimating the Equity Risk Premium: the Case of Greater China

Author:
Jie Zhu  Xiaoneng Zhu  


Issue Date:
2010


Abstract(summary):

We provide improved estimates of the equity risk premium in markets within Greater China. To be consistent, we perform the estimation for periods when mar- kets are recovering from the bottom. To justify the... ndings, we also apply a relative estimation approach, which takes into account the lower required rate of return for Chinese investors due to lack of investment opportunities. After making these adjust- ments, we... nd that risk premia in Shanghai and Shenzhen are close to risk premia in Hong Kong and Taiwan. All of these risk premia are higher than the corresponding risk premium for the U. S. market.


Page:
30


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