Journal of CENTRUM Cathedra. Vol. 02, Issue 01

URI permanente para esta colecciónhttp://54.81.141.168/handle/123456789/194726

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JCC Volume 2 - Issue 1 - 2009
  • Equity Market Risk Premium and Global Integration Johnson, Robert; Soenen, Luc; 1
  • Using Random Forests and Logistic Regression for Performance Prediction of Latin American ADRS and Banks Creamer, Germán G; 2
  • Entrepreneurs, Intuition, and Small-Business Performance Chaston, Ian; 3
  • Evaluation of Market Readiness of Medium and Small-Scale Nonprofit Organizations in Northern India: An Empirical Study Madan, Pankaj; 4
  • Understanding Employee Turnover Patterns in Mexican Maquiladoras Romero, Eric; Cruthirds, Kevin W; 5
  • Productivity Growth as The Predictor of Shareholders' Wealth Maximization: An Empirical Investigation Kumar, Mukesh; Charles, Dr Vincent; 6

    • Doctoral Research Proposal
  • Competitive Advantage of Operational and Dynamic Information Technology Capabilities Bullon, Luis A; 1
  • Managerial Capabilities in Peruvian Family Companies: An Exploratory Study Salomon, Jaime O; 2

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      Equity Market Risk Premium and Global Integration
      (Pontificia Universidad Católica del Perú. CENTRUM, 2009) Johnson, Robert; Soenen, Luc
      The equity market risk premium remains one of the most debated issues in corporate finance. Monthly returns for 19 developed equity markets and 16 emerging equity markets between 1970 and 2006 aided in examining the extent of integration of these markets with the U.S. stock market and the Morgan Stanley Capital International (MSCI) World Index. Geweke measures of feedback indicate that although both developed and emerging markets show a slight and gradual increase in integration, emerging markets reflect significant segmentation from the U.S. stock market and the world market index. Greater stock market integration is associated with a more favorable economic and political climate toward business. Additional risk premiums relative to the intertemporal capital asset pricing model (ICAPM) arise because of segmentation of emerging markets from the world. Valuing business investments in countries with at least partially segmented equity markets requires an adjusted capital asset pricing model (CAPM).