Do Demographic Changes Affect Risk Premiums? Evidence from International Data

40 Pages Posted: 28 Jul 2001

See all articles by Andrew Ang

Andrew Ang

BlackRock, Inc

Angela Maddaloni

European Central Bank (ECB)

Multiple version iconThere are 3 versions of this paper

Date Written: July 2001

Abstract

We examine the link between equity risk premiums and demographic changes using a very long sample over most of the twentieth century for the US, Japan, UK, Germany and France, and a shorter sample from 1970-1998 for fifteen countries. We find that demographic variables do 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, increases in the fraction of retired persons decrease risk premiums.

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

JEL Classification: G12, G15, J10, P46

Suggested Citation

Ang, Andrew and Maddaloni, Angela, Do Demographic Changes Affect Risk Premiums? Evidence from International Data (July 2001). Available at SSRN: https://ssrn.com/abstract=276589 or http://dx.doi.org/10.2139/ssrn.276589

Andrew Ang (Contact Author)

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

Angela Maddaloni

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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