Estimating the Market Risk Premium Using Data from Multiple Markets.

This paper develops an estimator for a country's market risk premium that involves optimally combining an estimator based upon only local data and the cross-country average of these estimators. The analysis suggests that the usual practice of invoking only local data to estimate a country's market risk premium is significantly inferior to the use of a cross-country average or a combined estimator with high weighting on the cross-country average. [ABSTRACT FROM AUTHOR]