Uncertainty and Downside Risk in International Stock Returns

Nektarios Aslanidis, Charlotte Christiansen and George Kouretas

Working Papers from Universitat Rovira i Virgili, Department of Economics

Abstract: We conduct an international analysis of the cross-sectional risk premiums of uncertainty risk factors in addition to traditional risk factors. We consider the stock markets in five regions separately. Internationally, uncertainty has negative risk premiums which is similar to previous findings for the US. This implies that investors get lower returns for assets with high uncertainty betas. We further contribute with an analysis of downside un- certainty risk. Here, the downside uncertainty risk factor is high uncertainty which has additional risk premiums. We measure uncertainty by the logs of the local and US economic policy uncertainty indices. Keywords: International stock returns; economic policy uncertainty; Fama- French factor models; downside risk. JEL Classifications: G12; G15

Keywords: Mercats financers; 33 - Economia (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-ifn and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/2072/376032

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:urv:wpaper:2072/376032

Access Statistics for this paper

More papers in Working Papers from Universitat Rovira i Virgili, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Ariadna Casals ().