countries. Country characteristics and existing global and local risk factors do not account for such predictability, leading to … large abnormal returns, up to 15% per annum. We identify a global political risk factor (P-factor) commanding a risk premium …

Assessing and pricing country risk poses a considerable challenge to tactical asset allocation across national equity … markets. This research examines the relationship between the country composite risk (together with its component risks related … profitability of the risk-based strategies disappear in the years following the global financial crisis …

This article investigates the risk-return relations of stocks traded in frontier markets, a class of small, illiquid …-section of risk premiums of 360 stocks traded in 19 frontier markets for the period from January 1997 to June 2004. We first … country specific factors including political, economic and financial risk ratings. Two surprising findings emerge from this …

effect may be a result of both rational risk pricing and market inefficiency while remain silent on the cause of trading …

virtue of the long-run data set, we are also able to relate the importance of world consumption risk for the cross-section of … 1900 to 2008 in a setting where investors have recursive utility. We find strong evidence that a long-run risk consumption … CAPM that prices international stock returns via their exposures to multi-period consumption growth in world consumption …

, we use a new conditional-risk factor, which is a market timing strategy defined as the unexpected return on the market … times the ex ante price of risk. The factor is a powerful tool for documenting a global effect of conditional risk on stock … returns: across 23 developed countries, all major equity risk factors load on our conditional-risk factor with the right sign …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …