The Risk‐Return Relation in International Stock Markets
Hui Guo ()
The Financial Review, 2006, vol. 41, issue 4, 565-587
We investigate the risk‐return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indices. In contrast with the capital asset pricing model, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk‐return tradeoff in many countries after controlling for the (U.S.) consumption‐wealth ratio. U.S. realized variance is also significantly related to future international stock market returns; more importantly, it always subsumes the information content of its local counterparts. Our results indicate that stock market variance is an important determinant of the equity premium.
References: Add references at CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed
Downloads: (external link)
Working Paper: On the risk-return relation in international stock markets (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:41:y:2006:i:4:p:565-587
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0732-8516
Access Statistics for this article
The Financial Review is currently edited by Cynthia J. Campbell and Arnold R. Cowan
More articles in The Financial Review from Eastern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().