Showing 1 - 10 of 89
Demand is growing for a better understanding of how assets are priced in countries outside of the U.S.While financial data are available for many firms world-wide, it is important to have a reliable andreplicable method of constructing high-quality systematic risk factors from these data. This...
Persistent link: https://www.econbiz.de/10009249004
We identify local and global factors across international bond markets that arepoorly spanned by the traditional level, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are jointly signicant predictors of bond returns, where...
Persistent link: https://www.econbiz.de/10009305251
In this study, we examine whether changes in the investment opportunityset stemming from interest rate and credit risks are priced in the US, theUK and the Swiss equity premia by estimating both two-factor and three-factor versions of Merton’s ICAPM. The systematic pricing of credit riskis...
Persistent link: https://www.econbiz.de/10005857973
This empirical study analyzes market and currency risk premia during financial and political crises within the theoretical framework of the international asset pricing model of Adler and Dumas (1983). The econometric specification extends the multivariate GARCH approach of De Santis and Gerard...
Persistent link: https://www.econbiz.de/10005858143
We use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post-war economies and its...
Persistent link: https://www.econbiz.de/10005858383
This paper investigates the extent to which differences in information costs can explain the equity home bias puzzle. In a model where the cost of acquiring information regarding the Foreign asset is higher than for the Home asset, we show that–if cost functions are convex–the expected size of...
Persistent link: https://www.econbiz.de/10005858507
This paper examines the determinants of stock returns in a small open economy using an APT framework. The analysis is conducted for the Swiss stock market which has the particularity of including a large proportion of firms that are exposed to foreign economic conditions. Both a statistical and...
Persistent link: https://www.econbiz.de/10005858761
This paper investigates the relative influences of industrial and country factors in international stock returns. Until very recently, academic research has consistently found that country factors dominate industrial factors. This result is in contradiction with practitioners beliefs. This paper...
Persistent link: https://www.econbiz.de/10005859102
n this study, we examine the level of stock market integration and the impact of sovereign risk on the pricing of European equity markets since the introduction of the euro. We use a multivariate GARCH(1,1)-M return generating model allowing for partial market integration in which sovereign risk...
Persistent link: https://www.econbiz.de/10005859116
o obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction. The question that we raise in this paper is how to select the optimal portfolio of countries? This article synthesizes...
Persistent link: https://www.econbiz.de/10005859126