Risk Premia in International Equity Markets Revisited

55 Pages Posted: 21 Sep 2006 Last revised: 23 Apr 2008

See all articles by Stephen J. Brown

Stephen J. Brown

New York University - Stern School of Business

Takato Hiraki

International University of Japan

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: August 5, 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 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.

Keywords: Risk premia, international asset pricing models, global capital markets, global investments

JEL Classification: G12, G15

Suggested Citation

Brown, Stephen J. and Hiraki, Takato and Arakawa, Kiyoshi and Ohno, Saburo, Risk Premia in International Equity Markets Revisited (August 5, 2007). Available at SSRN: https://ssrn.com/abstract=931806 or http://dx.doi.org/10.2139/ssrn.931806

Stephen J. Brown

New York University - Stern School of Business ( email )

Stern School of Business
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Takato Hiraki (Contact Author)

International University of Japan ( email )

Research Institute
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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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