Abstract

http://ssrn.com/abstract=1354508
 
 

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Risk Premia in International Equity Markets Revisited


Takato Hiraki


Tokyo University of Science - School of Management

Stephen J. Brown


New York University - Stern School of Business

Kiyoshi Arakawa


Societe Generale Asset Management (Japan)

Saburo Ohno


Societe Generale Asset Management (Japan)

February 2009

NYU Working Paper No. FIN-08-021

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 systematic variations 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 in modeling global asset prices.

Number of Pages in PDF File: 55

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Date posted: March 9, 2009  

Suggested Citation

Hiraki, Takato and Brown, Stephen J. and Arakawa, Kiyoshi and Ohno, Saburo, Risk Premia in International Equity Markets Revisited (February 2009). NYU Working Paper No. FIN-08-021. Available at SSRN: http://ssrn.com/abstract=1354508

Contact Information

Takato Hiraki
Tokyo University of Science - School of Management ( email )
6-3-1 NiiJuku Katsushika-Ku
Tokyo, 125-8585
Japan
+81-480-21-7611 (Phone)
+81-480-21-7654 (Fax)
Stephen J. Brown
New York University - Stern School of Business ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0306 (Phone)
212-995-4233 (Fax)
Kiyoshi Arakawa
Societe Generale Asset Management (Japan) ( email )
Nihonbashi Kabuto-cho 5-1
Chuo-ku
Tokyo, 103-0026
Japan
Saburo Ohno
Societe Generale Asset Management (Japan) ( email )
Nihonbashi Kabuto-cho 5-1
Chuo-ku
Tokyo, 103-0026
Japan
(+81) 3 3660 6413 (Phone)
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