This paper studies the dynamics of emerging excess returns in a industry-by-industry context. Differently from the recent financial literature, which mainly focuses on 'total market indexes', we perform a standard ex-post empirical analysis aimed at capturing the industries' contribution to...

The average equity risk premium (ERP) in emerging markets is well-known to be significantly higher than in developed markets. But, key reasons for this remain unclear, contributing to investment strategy uncertainty. Here, we use industry-level data for 19 emerging market countries across three...

We produce novel empirical evidence on the relevance of temperature volatility shocks for the dynamics of macro aggregates and asset prices. Using two centuries of UK temperature data, we document that the relationship between temperature volatility and the macroeconomy varies over time. First,...

The understanding of the Equity Risk Premium (ERP) and the Equity Premium Puzzle (Mehra and Prescott 1985), is still widely discussed in the economic and financial literature. The purpose of this paper is to show differences in the ERP between developed and emerging markets. Using data from both...