Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
973879 | Pacific-Basin Finance Journal | 2009 | 24 Pages |
Abstract
Recent evidence suggests that global equity markets are becoming more risky. We develop a model to explain risk premia in international equity markets. The model is then used to investigate the changing nature of conditional risk premia and their effect on unconditional global risk. Using this model we find that the increase in international variance and covariance of realized excess returns can be attributed to systematic variations in global risk premia correlated across markets as well. Understanding this additional source of increased global correlation is important. These results have interest both for practitioners and for those interested in modeling global asset prices.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Stephen J. Brown, Takato Hiraki, Kiyoshi Arakawa, Saburo Ohno,