Risk Premia in International Equity Markets Revisited
55 Pages Posted: 21 Sep 2006 Last revised: 23 Apr 2008
Date Written: August 5, 2007
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: Suggested Citation