You searched for: Content Type Research Paper Remove constraint Content Type: Research Paper Political Geography Africa Remove constraint Political Geography: Africa Publication Year within 10 Years Remove constraint Publication Year: within 10 Years Publication Year within 5 Years Remove constraint Publication Year: within 5 Years Topic Global Political Economy Remove constraint Topic: Global Political Economy
- Author: Odongo Kodongo, Kalu Ojah
- Publication Date: 01-2018
- Content Type: Research Paper
- Institution: African Economic Research Consortium (AERC)
- Abstract: In this paper, we sought to establish whether Africa’s volatile currencies drive equity risk premium. We use the stochastic discount factor (SDF) framework to estimate various conditional specifications of the International Capital Asset Pricing Model through generalized method of moments technique. Our results show strong evidence of conditional, time-varying currency risk premium in equity returns. Currency risk is also perceived by international investors as important in informing the equities pricing kernel. We also find evidence that international investors are worried about Africa’s small size equity markets and build anticipated low trading into their pricing calculus.
- Topic: Development, Economics, International Trade and Finance, Global Political Economy, Economic growth, Capital Flows, Currency, Profit
- Political Geography: Africa