Risk Premia in International Equity Markets Revisited

55 Pages Posted: 9 Mar 2009

See all articles by Takato Hiraki

Takato Hiraki

International University of Japan

Stephen J. Brown

New York University - Stern School of Business

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 2009

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.

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: https://ssrn.com/abstract=1354508

Takato Hiraki

International University of Japan ( email )

Research Institute
Koksai-cho 777
Minami-uonuma-shi, Niigata-ken 949-7277
Japan
+81-25-779-1481 (Phone)
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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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