Information Environment and Equity Risk Premium Volatility Around the World
研究了41个发达和新兴市场中，国家信息环境（信息披露、会计准则、财务透明度）如何影响市场风险溢价的波动性，发现更好的信息环境与更低的风险溢价波动相关。
This paper examines whether and how differences in investors' information environments (measured by a country's information disclosure, accounting standards, and financial transparency) are related to cross-country differences in the market risk premium volatility. We use the vector-autoregressive and implied cost of capital methods to extract time variation in risk premiums for 41 developed and emerging markets worldwide. Consistent with theoretical predictions, countries with better information environments tend to experience a lower risk premium volatility, even after controlling for various country variables that are potentially associated with variation in risk premiums. Our analysis of two exogenous events, specifically the 1997 Asian financial crisis and 2008 global financial crisis, further corroborates our key finding that information environments play an important role in explaining market risk premium variability. This paper was accepted by Wei Xiong, finance.