On the determinants of equity international risk premium : Are emerging zones different ?

This article contributes to the financial literature by investigating the formation of the international stock risk premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that the currency risk premium is the most important component of the total premium followed by the global market premium. As for a regional risk, our findings show that it is significantly priced for all studied emerging regions but its contribution to the total risk premium is weak.