Downside risk of international stock returns
Downside risk of international stock returns
复制标题
国际股票回报的下行风险
DOI：
10.1016/j.jbankfin.2012.04.019
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发表时间：
2012
影响因子：
3.7
通讯作者：
Victoria Galsband
中科院分区：
文献类型：
--
作者：
Victoria Galsband
本文调查了全球 14 个主要工业化经济体国际股票回报的下行风险暴露。在 1975 年至 2010 年期间，我们发现价值回报率和增长投资组合的差异可以通过资产对市场下行冲击的适应性来合理化。国际价值型股票对市场的永久性下行冲击特别敏感，而国际成长型股票对市场的暂时性下行冲击特别敏感。根据美国最近的证据，与市场现金流创新不利变化相关的风险具有普遍存在且统计显着的溢价。
This paper investigates the downside risk exposure of international stock returns in 14 major industrialized economies around the world. For the period 1975–2010, we find that differences in returns on value and growth portfolios can be rationalized by assets’ reagibilities to market’s downside shocks. International value stocks are particularly sensitive to market’s permanent downside shocks, while international growth stocks are particularly sensitive to market’s temporary downside shocks. In line with recent evidence for the US, risk associated with unfavorable changes in market’s cash-flow innovations carries a premium which is pervasive and statistically significant.
影响因子：
8.2
作者：
Campbell, John Y.;Shiller, Robert J.
通讯作者：
Shiller, Robert J.