Brown, Stephen J.; Hiraki, Takato; Arakawa, Kiyoshi; … - In: Pacific-Basin Finance Journal 17 (2009) 3, pp. 295-318
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...