Abstract
ABSTRACT This paper re-examines the link between equity risk premiums and demographic changes using panel data of 17 advanced countries over the postwar period. Based on the method of Pesaran (2006) that takes into account cross-section dependence, we find little evidence that demographic structures predict excess stock returns. However, demographic variables appear to have strong predictability of the excess returns in pooled OLS regressions. These results suggest that the failure of controlling for the influence of the common factors would lead to spurious estimation results.
Full Text
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call