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Globalization of Equity Markets and the Cost of Capital

Stulz, Rene M. - 1999

This paper examines the impact of globalization on the cost of equity capital. We argue that the cost of equity capital decreases because of globalization for two important reasons. First, the expected return that investors require to invest in equity to compensate them for the risk they bear...

Persistent link: https://www.econbiz.de/10012471779

On the Gains to International Trade in Risky Financial Assets

Davis, Steven J. - 2000

This paper develops and implements a framework for quantifying the gains to international trade in risky financial assets. The framework can handle may agents, many assets, incomplete markets and limited participation in asset markets. It delivers closed-form analytic solutions for consumption,...

Persistent link: https://www.econbiz.de/10012470954

Fundamental Determinants of National Equity Market Returns : A Perspective on Conditional Asset Pricing

Ferson, Wayne E. - 1996

This paper provides a global asset pricing perspective on the debate over the relation between predetermined attributes of common stocks, such as ratios of price-to-book-value, cash-flow, earnings, and other variables to the future returns. Some argue that such variables may be used to find...

Persistent link: https://www.econbiz.de/10012472968

Consumption, Stock Returns, and the Gains from International Risk-Sharing

Lewis, Karen K. - 1996

Standard theoretical models predict that domestic residents should diversify their portfolios into foreign assets much more than observed in practice. Whether this lack of diversification is important depends upon the potential gains from risk-sharing. General equilibrium models and consumption...

Persistent link: https://www.econbiz.de/10012473454

World Income Components : Measuring and Exploiting International Risk Sharing Opportunities

Shiller, Robert J. - 1995

We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate … eigenvectors of a variance matrix of residuals produced when country incomes are regressed on world income. Another method uses a … matrix of deviations of country incomes from their respective contract-year shares of world income. The two methods are …

Persistent link: https://www.econbiz.de/10012473792

Time-Varying World Market Integration

Bekaert, Geert - 1994

-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the …

Persistent link: https://www.econbiz.de/10012474072

The World Price of Foreign Exchange Risk

Dumas, Bernard - 1993

We consider a world capital market in which the investor population is heterogenous. Investors of different countries …

Persistent link: https://www.econbiz.de/10012474487

Global Financial Markets and the Risk Premium on U.S. Equity

Chan, K.C. - 1992

We document that there is a significant foreign influence on the risk premium of U.S. assets. Using a bivariate GARCH-in-mean process for conditional expected excess returns, we find that the conditional expected excess return on U.S. stocks is positively related to the conditional covariance of...

Persistent link: https://www.econbiz.de/10012474905

Global Financial Cycles and Risk Premiums

Jordà, Òscar - 2018

This paper studies the synchronization of financial cycles across 17 advanced economies over the past 150 years. The comovement in credit, house prices, and equity prices has reached historical highs in the past three decades. The sharp increase in the comovement of global equity markets is...

Persistent link: https://www.econbiz.de/10012453043

The US, Economic News, and the Global Financial Cycle

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023

We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...

Persistent link: https://www.econbiz.de/10014247914

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