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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27867
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| Title: | Risk Premia in International Equity Markets Revisited |
| Authors: | Brown, Stephen
Hiraki, Takato
Arakawa, Kiyoshi
Ohno, Saburo |
| Issue Date: | 6-Feb-2009 |
| Series/Report no.: | FIN-08-021 |
| 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/2451/27867 |
| Appears in Collections: | Finance Working Papers
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