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- Title
TIME VARYING PREMIUM OF EMERGING MARKET STOCK RETURN.
- Authors
Patel, Jayen B.
- Abstract
We examined mean premium of emerging market stock return over that of U.S. market for the period January 1995 to December 2007. Our results indicate that premium is not positive for every month of the year. More specifically, we find that December premiums are significantly higher than mean of remaining months of the year. Furthermore, December premium remain remarkably higher than that of other months over numerous sub-periods. We therefore conclude that U.S. investors were essentially compensated for bearing higher risk for investing in emerging stock market in the month of December.
- Publication
Journal of International Business Strategy, 2008, Vol 8, Issue 1, p128
- ISSN
1552-2903
- Publication type
Academic Journal