Curatola, Giuliano; Donadelli, Michael; Grüning, Patrick - In: Emerging Markets Review 22 (2015) C, pp. 65-75
The equity risk premium (ERP) in BRIC markets is, on average, significantly higher than that in the US market. This paper employs an endowment economy with recursive preferences and long-run risk to explain the ERP generated by a portfolio of BRIC equity indices. The combination of recursive...