Risk Premia in International Equity Markets Revisited
Risk Premia in International Equity Markets Revisited
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DOI：
10.2139/ssrn.931806
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发表时间：
2007-02
影响因子：
1.2
通讯作者：
Takatoshi Hiraki;Stephen J. Brown;K. Arakawa;Saburo Ohno
中科院分区：
文献类型：
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作者：
Takatoshi Hiraki;Stephen J. Brown;K. Arakawa;Saburo Ohno
最近的证据表明，全球股票市场的风险越来越大。我们建立了一个模型来解释国际股票市场的风险溢价。然后，该模型被用来研究条件风险溢价的变化性质及其对无条件全球风险的影响。使用这个模型，我们发现，国际方差和协方差的增加，已实现的超额收益率可以归因于系统性的变化，在全球风险溢价相关的市场以及。了解全球相关性增加的这一额外来源很重要。这些结果对从业者和对全球资产价格建模感兴趣的人都有兴趣。
Recent evidence suggests that global equity markets are becoming more risky. We develop a model to explain risk premia in international equity markets. The model is then used to investigate the changing nature of conditional risk premia and their effect on unconditional global risk. Using this model we find that the increase in international variance and covariance of realized excess returns can be attributed to systematic variations in global risk premia correlated across markets as well. Understanding this additional source of increased global correlation is important. These results have interest both for practitioners and for those interested in modeling global asset prices.