Harvey, Campbell R.; Solnik, Bruno; Zhou, Guofu - In: Annals of Economics and Finance 3 (2002) 2, pp. 249-298
This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their...