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Some international evidence on the 'equity premium'

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  • Ketil Hviding

Abstract

This note presents results from tests on the proposition that a 'surprise' in inflation is positively related to the equity premium using data from four financial markets: the United States, Japan, the United Kingdom and Germany. The results appear to confirm previous work by Blanchard indicating a positive relationship in the United States. This result does, however, not seem to be applicable to other markets; there is no evidence of such a relationship in Japan, Germany, or in the United Kingdom.

Suggested Citation

  • Ketil Hviding, 1997. "Some international evidence on the 'equity premium'," Applied Economics Letters, Taylor & Francis Journals, vol. 4(10), pages 599-602.
    • Handle: RePEc:taf:apeclt:v:4:y:1997:i:10:p:599-602
    DOI: 10.1080/758533281
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    References listed on IDEAS

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    1. Adrian Orr & Malcolm Edey & Michael Kennedy, 1995. "The Determinants of Real Long-Term Interest Rates: 17 Country Pooled-Time-Series Evidence," OECD Economics Department Working Papers 155, OECD Publishing.
    2. Mitsuhiro Fukao, 1993. "International Integration of Financial Markets and the Cost of Capital," OECD Economics Department Working Papers 128, OECD Publishing.
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    Cited by:

    1. Shahid Ebrahim, M. & Mathur, Ike, 2001. "Investor heterogeneity, market segmentation, leverage and the equity premium puzzle," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1897-1919, October.

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