The CAPM, National Stock Market Betas, and Macroeconomic Covariates: a Global Analysis

Michael Curran () and Adnan Velic
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Michael Curran: Villanova University

Open Economies Review, 2020, vol. 31, issue 4, No 3, 787-820

Abstract: Abstract Using global data on aggregate stock markets, this paper finds that the capital asset pricing model fares much better than suggested previously. At shorter time horizons, our results also show that the positive risk-reward relation can collapse during times of high volatility. Compared to other countries, we retrieve evidence of lower systematic risks across frontier equity portfolios. We find that countries characterized by higher levels of openness, exchange rate volatility, and larger economic size are exposed to higher systematic covariances with the world stock market. Conversely, we obtain an inverse link between international reserves and systematic risks in national equity.

Keywords: Portfolios; Stock market; Cross-country; Systematic risk; Capital asset pricing model; Macroeconomic covariates (search for similar items in EconPapers)
JEL-codes: F30 F31 F41 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Working Paper: The CAPM, National Stock Market Betas, and Macroeconomic Covariates: A Global Analysis (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:kap:openec:v:31:y:2020:i:4:d:10.1007_s11079-020-09579-2

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DOI: 10.1007/s11079-020-09579-2

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