Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152642
Authors: 
Ang, Andrew
Maddaloni, Angela
Year of Publication: 
2003
Series/Report no.: 
ECB Working Paper 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.
Subjects: 
demography
international predictability
Population aging
risk premiums
social security
JEL: 
G12
G15
J10
P46
Document Type: 
Working Paper

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