Abstract

http://ssrn.com/abstract=376232
 
 

Citations (23)



 


 



Do Demographic Changes Affect Risk Premiums? Evidence from International Data


Andrew Ang


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Angela Maddaloni


European Central Bank (ECB)

January 2003

ECB Working Paper No. 208

Abstract:     
We examine the link between equity risk premiums and demographic changes using a very long sample over the whole twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for fifteen countries. We find that demographic variables significantly predict excess returns internationally. However, the demographic predictability found in the US by past studies for the average age of the population does not extend to other countries. Pooling international data, we find that, on average, faster growth in the fraction of retired persons significantly decreases risk premiums. This demographic predictability of risk premiums is stronger for countries with well-developed social security systems and lesser-developed financial markets.

Number of Pages in PDF File: 59

Keywords: Population aging, demography, risk premiums, international predictability, social security

JEL Classification: G12, G15, J10, P46

working papers series





Download This Paper

Date posted: February 4, 2003  

Suggested Citation

Ang, Andrew and Maddaloni, Angela, Do Demographic Changes Affect Risk Premiums? Evidence from International Data (January 2003). ECB Working Paper No. 208. Available at SSRN: http://ssrn.com/abstract=376232

Contact Information

Andrew Ang (Contact Author)
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Angela Maddaloni
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
Feedback to SSRN


Paper statistics
Abstract Views: 3,413
Downloads: 521
Download Rank: 16,944
Citations:  23

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.391 seconds