Risk Premia in International Equity Markets Revisited
55 Pages Posted: 13 Nov 2008
There are 3 versions of this paper
Risk Premia in International Equity Markets Revisited
Number of pages: 55
Posted: 21 Sep 2006
Last Revised: 23 Apr 2008
Downloads
275
Risk Premia in International Equity Markets Revisited
NYU Working Paper No. FIN-08-021
Number of pages: 55
Posted: 09 Mar 2009
Downloads
153
Date Written: February 2007
Abstract
Recent evidence suggests that global equity markets are becoming more risky. We find that much of the apparent increase in international variance and covariance of returns can be attributed to systematicvariations in global risk premia correlated across markets, rather than to any fundamental change in the risk attributes of these markets. This result has interest both for practitioners and for those interested inmodeling global asset prices.
Keywords: Risk premia, international asset pricing models, global capital markets, global investments
Suggested Citation: Suggested Citation
Brown, Stephen J. and Hiraki, Takato and Arakawa, Kiyoshi and Ohno, Saburo, Risk Premia in International Equity Markets Revisited (February 2007). NYU Working Paper No. FIN-07-033, Available at SSRN: https://ssrn.com/abstract=1300780
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