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Globalization of Equity Markets and the Cost of Capital

Stulz, René M. - 2014

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/10013069163

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

Lewis, Karen K. - 2008

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/10012774983

On the Gains to International Trade in Risky Financial Assets

Davis, Steven J. - 2001

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/10012788068

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

Chan, K.C. - 2010

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/10012763130

Time-Varying World Market Integration

Bekaert, Geert - 2010

-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/10012763564

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/10012916914

World Income Components : Measuring and Exploiting International Risk Sharing Opportunities

Shiller, Robert J.; Athanasoulis, Stefano - 2021

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/10013224942

The Real Value of China's Stock Market

Carpenter, Jennifer N. - 2015

China is the world's largest investor and greatest contributor to global economic growth by wide margins, and will … world's most important crystal ball …

Persistent link: https://www.econbiz.de/10013027692

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?

Adam, Klaus - 2018

expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the asset …

Persistent link: https://www.econbiz.de/10012909905

Shadow Funding Costs : Measuring the Cost of Balance Sheet Constraints

Fleckenstein, Matthias - 2018

Recent theory suggests that balance sheet frictions and constraints faced by financial intermediaries can have major asset pricing implications. We propose a new measure of the impact of these constraints on intermediary funding costs that is based on the implied cost of renting intermediary...

Persistent link: https://www.econbiz.de/10012929559

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