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dc.contributor.authorCaporale, Guglielmo Maria
dc.contributor.authorGil Alana, Luis A. 
dc.contributor.authorMartín Valmayor, Miguel Ángel 
dc.date.accessioned2021-01-13T15:30:28Z
dc.date.available2021-01-13T15:30:28Z
dc.date.issued2020
dc.identifier.issn1055-0925spa
dc.identifier.urihttp://hdl.handle.net/10641/2162
dc.description.abstractThis paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany and Japan, and for robustness purposes considers different time horizons (2, 5 and 10 years) and frequencies (monthly and weekly). The empirical findings in most cases imply that the market risk premium is a highly persistent variable which can be characterized as a random walk process, whilst its volatility is less persistent and exhibits stationary long-memory behaviour. There is also evidence that in the case of the US the degree of persistence has changed as a results of various events; this is confirmed by both endogenous break tests and the associated subsample estimates. Market participants should take this evidence into account when designing their investment strategies.spa
dc.language.isoengspa
dc.publisherJournal of Economics and Financespa
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subjectRisk premiumspa
dc.subjectPersistencespa
dc.subjectMean reversionspa
dc.subjectLong memoryspa
dc.titlePersistence in the market risk premium: evidence across countries.spa
dc.typearticlespa
dc.description.versionpost-printspa
dc.rights.accessRightsopenAccessspa
dc.description.extent790 KBspa
dc.identifier.doi10.1007/s12197-020-09519-3spa
dc.relation.publisherversionhttps://link.springer.com/article/10.1007/s12197-020-09519-3spa


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Atribución-NoComercial-SinDerivadas 3.0 España
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