TY  - JOUR
AU  - Ang,Andrew
AU  - Maddaloni,Angela
TI  - Do Demographic Changes Affect Risk Premiums? Evidence from International Data
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9677
PY  - 2003
Y2  - May 2003
UR  - http://www.nber.org/papers/w9677
L1  - http://www.nber.org/papers/w9677.pdf
N1  - Author contact info:
Andrew Ang
Columbia Business School
3022 Broadway 413 Uris
New York, NY 10027
Tel: 212/854-9154
Fax: 212/662-8474
E-Mail: aa610@columbia.edu

Angela Maddaloni
Kaiserstrrase 29
D-60311 Frankfurt am Main, Germany
E-Mail: angela.maddaloni@ecb.europa.eu
AB  - We examine the link between equity risk premiums and demographic changes using a very long sample over the 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 strongest in countries with well-developed social security systems and lesser-developed financial markets.
ER  -