We explore the different factors that drive expected returns in world markets. Our research offers two innovations …. First, the introduction of the Euro currency unit greatly reduces the complexity of including foreign exchange risk in asset … currency risk factors. Second, when combining the currency factors with a group of economic factors, we measure the incremental …

correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor …

between its "exogenous" global PE ratio and the world market PE ratio should predict relative growth …

growth volatility, suggesting improved risk sharing. Our results are weaker for liberalizing emerging markets but we never …

to providing new insights on contagion during crisis periods, we document patterns through time in world and regional …

We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a … factors: global economic conditions, country-specific economic factors, liquidity of the country's bond, and political risk …. We then extract the part of the sovereign spread that is due to political risk, making use of political risk ratings. In …