Country Risk Premium: The Case of Chile

被引：0

作者：

Campos Jaque, Zocimo Jose ^{[1
]}

Tapia Gertosio, Juan ^{[2
]}

Natalia Gudaris, Paulina ^{[1
]}

机构：

[1] Univ Tecn Federico Santa Maria, Santiago, Chile

[2] Univ Tecn Federico Santa Maria, Valparaiso, Chile

来源：

REVISTA FINANZAS Y POLITICA ECONOMICA | 2021年 / 13卷 / 02期

关键词：

Prize for Risk; Profitability; Market; Chile; Financial Markets;

D O I：

10.14718/revfinanzpolitecon.v13.n2.2021.3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Currently there is no agreed method to estimate the Risk Premium accurately, therefore, different authors arrive at significantly different results when calculating the risk premium for a given country or industry. This work estimates the risk premium of the Chilean stock market (PRM) for the period 1993-2020 using different estimation methodologies (Differential Returns, Implicit Return in Current Stock Prices). The results indicate, depending on the methodology used, a Premium for Risk that ranges between 1,91% and 10,28%, which shows the existence of a positive premium for assuming risk in Chile that ranges around 5,3%.

引用

页码：317 / 344

页数：28

共 50 条

[1] Risk perception in a developing country: The case of Chile
Bronfman, NC
Cifuentes, LA
[J]. RISK ANALYSIS, 2003, 23 (06) : 1271 - 1285
[2] The Relationship Between Country Risk Premium and its Volatility: Turkish Case
Ekinci, Ilknur
Ekinci, Aykut
[J]. MALIYE DERGISI, 2022, (182): : 51 - 63
[3] The Relationship Between Country Risk Premium, Loans and Macroeconomic Variables: Case of Türkiye
Ekinci, Ilknur
Ekinci, Aykut
Genc, Murat Can
[J]. SOSYOEKONOMI, 2024, 32 (60) : 365 - 386
[4] Dollarization and Risk Premium in a Risky Country: An Investigation on Turkiye
Eren, Murat
Basar, Selim
Tosun, Bengu
[J]. ISTANBUL IKTISAT DERGISI-ISTANBUL JOURNAL OF ECONOMICS, 2022, 72 (02): : 625 - 651
[5] Exploring risk premium factors for country equity returns
Calice, Giovanni
Lin, Ming-Tsung
[J]. JOURNAL OF EMPIRICAL FINANCE, 2021, 63 : 294 - 322
[6] Balance sheet effects and the country risk premium: An empirical investigation
Juan Carlos Berganza
Roberto Chang
Alicia García Herrero
[J]. Review of World Economics, 2004, 140 : 592 - 612
[7] Equity Risk Premium: A Cross Country Analysis on Return Behaviour
Kumari, Trishika
Kumar, Santhosh
[J]. PACIFIC BUSINESS REVIEW INTERNATIONAL, 2016, 8 (09): : 89 - 94
[8] Balance sheet effects and the country risk premium: An empirical investigation
Berganza, JC
Chang, R
Herrero, AG
[J]. REVIEW OF WORLD ECONOMICS, 2004, 140 (04) : 592 - 612
[9] The Impact of Global Uncertainities on Country Credit Risk Premium Under Different Economic Regimes: The Case of Turkey
Erer, Deniz
[J]. MALIYE DERGISI, 2022, (183): : 1 - 23
[10] The cost of dementia in an unequal country: The case of Chile
Hojman, Daniel A.
Duarte, Fabian
Ruiz-Tagle, Jaime
Budnich, Marilu
Delgado, Carolina
Slachevsky, Andrea
[J]. PLOS ONE, 2017, 12 (03):

← 1 2 3 4 5 →