The Risk and Predictability of International Equity Returns
Abstract
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...
Paper Details
Title
The Risk and Predictability of International Equity Returns
Published Date
Jul 1, 1993
Volume
6
Issue
3
Pages
527 - 566
Citation AnalysisPro
You’ll need to upgrade your plan to Pro
Looking to understand the true influence of a researcher’s work across journals & affiliations?
- Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
- Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.
Notes
History