Artikel Jurnal :: Kembali

Artikel Jurnal :: Kembali

Estimating the quality risk premium: the case of greater China

Jie Zhu; (Bank Indonesia Insitute, 2019)

 Abstrak

ABSTRAK
The expected equity risk premium is a key input in various financial applications. Different methods exist for estimating the risk premium. This paper applies two approaches to estimate it in the markets of Greater China. More specifically, the historical average and relative estimation are carefully examined. The first approach is applied to estimate the equity risk premium when the markets are recovering from a trough. Then the relative estimation approach is applied to justify those findings, taking into consideration the lower rate of return required of Chinese investors due
to a lack of investment opportunities. After these adjustments, the risk premium in
Mainland China is found to be close to those in Hong Kong and Taiwan. All of these
markets have a higher risk premium than in the US market. The risk premiums for
the Shanghai and Shenzhen markets are about 8% and 10%, respectively. The risk
premiums for the Hong Kong and Taiwan markets are 8% and 9% compared to a long-
term forward-looking risk premium of about 4% for the US market.

 Metadata

Jenis Koleksi : Artikel Jurnal
No. Panggil : 332 BEMP 22:2 (2019)
Entri utama-Nama orang :
Subjek :
Penerbitan : Jakarta: Bank Indonesia Insitute, 2019
Sumber Pengatalogan : LibUI eng rda
ISSN : 14108046
Majalah/Jurnal : Bulletin of Monetary Economics and Banking
Volume : Vol. 22, No. 2, 2019: Hal. 195-212
Tipe Konten : text
Tipe Media : unmediated
Tipe Carrier : volume
Akses Elektronik :
Institusi Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, lantai 4, R. Koleksi Jurnal
  • Ketersediaan
  • Ulasan
  • Sampul
No. Panggil No. Barkod Ketersediaan
332 BEMP 22:2 (2019) 03-20-794782199 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 20502724
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