{
  "title": "The Equity Premium Puzzle, Ambiguity Aversion, and Institutional Quality",
  "publication": "IMF Working Papers, September 1, 2007",
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  "summary": "With cross-section data from 53 emerging and mature markets, we provide evidence that equity premium puzzle is a global phenomenon. In addition to risk aversion, equity premium may reflect ambiguity aversion.",
  "sections": [
    {
      "heading": "Key findings and conclusions",
      "content": "- Using cross-section data from 53 emerging and mature markets, the study provides evidence that the equity premium puzzle is a global phenomenon.\n- Equity premium may reflect not only risk aversion but also ambiguity aversion.\n- Some World Bank institutional quality indexes and other proxies for the degree of ambiguity in the sample countries are statistically significant.\n- The statistical significance of these indexes indicates that a large part of the equity premium may reflect investor aversion to ambiguities resulting from institutional weaknesses."
    },
    {
      "heading": "Data, scope, and methodology (as described)",
      "content": "- Cross-section sample: 53 emerging and mature markets.\n- Independent variables examined: pertinent fundamental variables and World Bank institutional quality indexes, plus other proxies for degree of ambiguity.\n- Empirical focus: sources of equity premium, distinguishing contributions from risk aversion and ambiguity aversion."
    },
    {
      "heading": "Implications and interpretation",
      "content": "- The global presence of the equity premium puzzle suggests that explanations limited to single-country or advanced-market settings may be incomplete.\n- Institutional quality and ambiguity linked to institutional weaknesses appear to be meaningful determinants of equity return differentials across countries.\n- Investor aversion to ambiguity associated with institutional weaknesses is plausibly a major component of observed equity premia.\n\n---\n\n Content in this bundle\n\n- wp07230\n  - wp07230 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp07230 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/the-equity-premium-puzzle-ambiguity-aversion-and-institutional-quality-21368"
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    "Authors: Abbas Mirakhor, S. Nuri Erbas",
    "Published: September 1, 2007",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451867947.001",
    "Using cross-section data from 53 emerging and mature markets, the study provides evidence that the equity premium puzzle is a global phenomenon.",
    "Equity premium may reflect not only risk aversion but also ambiguity aversion.",
    "Some World Bank institutional quality indexes and other proxies for the degree of ambiguity in the sample countries are statistically significant.",
    "The statistical significance of these indexes indicates that a large part of the equity premium may reflect investor aversion to ambiguities resulting from institutional weaknesses.",
    "Cross-section sample: 53 emerging and mature markets.",
    "Independent variables examined: pertinent fundamental variables and World Bank institutional quality indexes, plus other proxies for degree of ambiguity.",
    "Empirical focus: sources of equity premium, distinguishing contributions from risk aversion and ambiguity aversion.",
    "The global presence of the equity premium puzzle suggests that explanations limited to single-country or advanced-market settings may be incomplete.",
    "Institutional quality and ambiguity linked to institutional weaknesses appear to be meaningful determinants of equity return differentials across countries.",
    "Investor aversion to ambiguity associated with institutional weaknesses is plausibly a major component of observed equity premia.",
    "**_wp07230**"
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