Премия за риск на развивающихся и развитых рынках
Аннотация
В статье анализируются различия в премиях за риск акций (ERP) по регионам на основе данных с начала 2000-х гг. до мая 2023 г. Исследование показывает значительное изменение соотношения ERP на развивающихся и развитых рынках за последние 20 лет, противоречащее существующим исследованиям. Автор оценил ERP по странам и отраслям, провел регрессионный анализ с макроэкономическими факторами и анализ позитивных и негативных бета-коэффициентов. После кризиса 2008 г. развитые рынки оказались устойчивее к экономическим шокам. Инвестиции в развивающиеся рынки связаны с более высоким риском, включая повышенную волатильность, негативные и позитивные беты. Регрессионный анализ выявил отрицательную связь ERP с ростом ВВП и процентными ставками, но положительную с уровнем безработицы. Индекс демократии показал, что страны с низким уровнем демократии имеют более высокие ERP.
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