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Risk Premia in International Equity Markets Revisited

by: Takato Hiraki, Stephen Brown, Kiyoshi Arakawa, Saburo Ohno
Social Science Research Network Working Paper Series (9 March 2009)  Key: citeulike:12171676

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Abstract

Recent evidence suggests that global equity markets are becoming more risky. We find that much of the apparent increase in international variance and covariance of returns can be attributed to systematic variations in global risk premia correlated across markets, rather than to any fundamental change in the risk attributes of these markets. This result has interest both for practitioners and for those interested in modeling global asset prices.


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