The Risk and Predictability of International Equity Returns
The Risk and Predictability of International Equity Returns
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DOI：
10.1093/rfs/5.3.527
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发表时间：
1993-08
影响因子：
8.2
通讯作者：
W. Ferson;Campbell R. Harvey
中科院分区：
文献类型：
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作者：
W. Ferson;Campbell R. Harvey
我们调查了各国股市回报的可预测性及其与全球经济风险的关系。我们展示了如何始终如一地估计资产定价模型为预期收益捕捉到的可预测变化的比例。我们使用了一个模型，其中国家股票市场的条件贝塔依赖于局部信息变量，而全球风险溢价取决于全球变量。我们使用1970年的月度数据，检验了单贝塔模型和多重贝塔模型。这些模型很大程度上反映了许多国家的可预测性。其中大部分与全球风险溢价的时间变化有关。我们考察了国际股票市场收益的风险来源和可预测性。我们考察了几个全球经济风险因素，包括世界市场投资组合、汇率波动、
We investigate predictability in national equity market returns, and its relation to global economic risks. We show how to consistently estimate the fraction of the predictable variation that is captured by an assetpricing modelfor the expected returns. We use a model in which conditional betas of the national equity markets depend on local information variables, while global risk premia depend on global variables. We examine singleand multiple-beta models, using monthly data for 1970 to 1989. The models capture much of thepredictability for many countries. Most of this is related to time variation in the global risk premia. We investigate the sources of risk and predictability of international equity market returns. We examine several global economic risk factors, including a world market portfolio, exchange rate fluctuations, mea