Calice, Giovanni; Lin, Ming-Tsung - 2021
In this paper, we study a comprehensive set of risk premia of country equity returns for 45 countries over the sample … period 2002 to 2018 in both a single and a multiple factor setting. Using a new three-pass estimation method for factor risk … premia by Giglio and Xiu (2021), we find that several factors, including default risk, are also priced in country equity …