Demographics and International Investment
Claude B. Erb
Campbell R. Harvey
Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)
Tadas E. Viskanta
First Chicago Investment Management Co.
Population demographics impact both the time-series and cross-section of expected asset returns. A number of theories link the average age of a population to expected market returns. For example, Bakshi and Chen (1994) argue that an older population will demand a higher premium on equity investment because their risk aversion is higher. We argue that, in an international context, population demographics are more likely to reveal information about the risk exposure of a particular country. Our evidence supports the risk hypothesis.
This is the last working paper version of our 1997 Financial Analysts Journal article.
Number of Pages in PDF File: 30
Keywords: global investment, population, international stock returns, asset allocation, active management, risk premium
JEL Classification: G15, G12, G11, J11working papers series
Date posted: October 31, 2005
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