Risk Premia in International Equity Markets Revisited

55 Pages Posted: 13 Nov 2008

See all articles by Stephen J. Brown

Stephen J. Brown

New York University - Stern School of Business

Takato Hiraki

Tokyo University of Science - School of Management

Kiyoshi Arakawa

Societe Generale Asset Management (Japan)

Saburo Ohno

Societe Generale Asset Management (Japan)

Multiple version iconThere are 3 versions of this paper

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

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

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)

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)

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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