stock returns and balance sheet data for companies in twenty countries, we estimate a factor model that decomposes stock … returns into global, country- and industry-specific shocks. We find a large and highly significant link: a firm raising its …

performance of the II-CAPM (PPP) is mainly attributable to significant hedging against inflation risk. … of international equity markets in which only global market risk appears to be priced. When using the Hansen …

) identify all relevant sources of risk and 2) assume a linear factor model for asset returns. Testing multi-beta models in terms …This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk … variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1 …

data, we construct estimates of the exchange rate sensitivity of the equity returns of the U.S. bank holding companies and … compare them to those of a sample of Japanese banks. We find that the stock returns of a significant fraction of the U ….S. companies move with the exchange rate, while few of the Japanese returns that we observe do so. We next examine more closely the …

depend on the form of default risk. When private loans are enforceable, but there is the risk that the government will …