The aim of this paper is to investigate the stock returns predictability in a multi-variate context. Johansen’s multivariate cointegration analysis is applied to weekly data on the Korea, Hong Kong, Taiwan, Indonesia and Singapore indices in 1997-2008. The results indicate that markets are...

This paper analyzes the effect of international financial integration on the equity risk premium using a panel dataset of sixty emerging and developing countries over the period 2000-2010. We also use equity risk premium determinants as independent vari-ables in the model. The results show that...

This study examines the effect of country-level governance quality on equity risk premium using a panel dataset of 122 developed, emerging and developing economies over the period 2000-2012. Governance quality is measured by worldwide governance indicators. We use other determinants of equity...