The Risk and Predictability of International Equity Returns

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ID: 300225
1993
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Abstract
We investigate predictability in national equity market returns, and its relation to global economic risks. We show how to consistently estimate the fraction of the predictable variation that is captured by an asset pricing model for the expected returns. We use a model in which conditional betas of the national equity markets depend on local information variables, while global risk premia depend on global variables. We examine single- and multiple-beta models, using monthly data for 1970 to 1989. The models capture much of the predictability for many countries. Most of this is related to time variation in the global risk premia.
Reference Key
openalex_W2165559086 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Wayne E. Ferson, Campbell R. Harvey
Journal review of financial studies
Year 1993
DOI
10.1093/rfs/5.3.527
URL
https://doi.org/10.1093/rfs/5.3.527
Keywords Keywords not found

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