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Historical equity risk premium in Portuguese market
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Orientador(es)
Resumo(s)
The major risk and return models, such as Capital Asset Price Model (CAMP), required information about equity risk premium. One way to predict which risk premium should be used in the future is to estimate the historical risk premium taking in consideration both "good times" and "bad times". A lot of information about this subject is available for bigger markets such as the U.S. and the U.K.; however, what equity risk premium should be used in a small market like Portugal? In this work project I estimate the Portuguese historical risk premium from 1982 to 2007, taking into account some limitations of the available data. After considering these restrictions, the main conclusion reached, as other students have, is that, out of all assets classes, equities are the ones which provide more returns.
Descrição
A Work Project, presented as part as the requirements for the Award of a Masters Degree in Finance from the Nova School in Business and Economics
Palavras-chave
Equity Risk premium Portuguese market