全球智库信息集成服务系统(G2TT): Do Demographic Changes Affect Risk Premiums? Evidence from International Data

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w9677
来源ID	Working Paper 9677
	Do Demographic Changes Affect Risk Premiums? Evidence from International Data
	Andrew Ang; Angela Maddaloni
发表日期	2003-05-12
出版年	2003
语种	英语
摘要	We examine the link between equity risk premiums and demographic changes using a very long sample over the twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for fifteen countries. We find that demographic variables significantly predict excess returns internationally. However, the demographic predictability found in the US by past studies for the average age of the population does not extend to other countries. Pooling international data, we find that, on average, faster growth in the fraction of retired persons significantly decreases risk premiums. This demographic predictability of risk premiums is strongest in countries with well-developed social security systems and lesser-developed financial markets.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w9677
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/567301
推荐引用方式 GB/T 7714	Andrew Ang,Angela Maddaloni. Do Demographic Changes Affect Risk Premiums? Evidence from International Data. 2003.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w9677.pdf（370KB）	智库出版物		限制开放	CC BY-NC-SA	浏览