Faculty Digital Archive
Browse
Communities
& Collections
By Date
Authors
Titles
Subjects
Search

Advanced Search
Sign on to:
Get email
updates
My Archive
Edit Profile
Help
About the Archive

Archive@NYU  >
Stern School of Business >
Finance Working Papers >

Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/27402

Title: Risk Premia in International Equity Markets Revisited
Authors: Brown, Stephen J.
Hiraki, Takato
Arakawa, Kiyoshi
Ohno, Saburo
Keywords: Risk premia
international asset pricing models
global capital markets
global investments
Issue Date: 14-Feb-2007
Series/Report no.: FIN-07-033
Abstract: 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.
URI: http://hdl.handle.net/2451/27402
Appears in Collections:Finance Working Papers

Files in This Item:

File Description SizeFormat
FIN-07-033.pdf349.22 kBAdobe PDFView/Open

All items in Faculty Digital Archive are protected by copyright, with all rights reserved.

 
The contents of this archive are either in the public domain or subject to copyright. Please consult NYU's "Handbook for Use of Copyrighted Materials" (http://library.nyu.edu/copyright/copyright.html) for information on using material within the Faculty Digital Archive.
Valid XHTML 1.0 | CSS