 US structural drivers of international portfolio returnsBosung Jang, Inhwan So and Eric Tong The North American Journal of Economics and Finance, 2023, vol. 64, issue C Abstract: This paper examines the dynamic relationships between the global six Fama–French and momentum factors and three types of shocks from the US: growth, monetary policy, and risk premium shocks. Cross-sectional tests suggest that the US shocks capture a significant portion of the six factors’ explanatory power. Investigating the dynamic relationships, we find that although the market portfolio and small-minus-big style appreciate in value in response to positive growth shocks, the remaining factors—high-minus-low, conservative-minus-aggressive, robust-minus-weak, and winning-minus-losing—are not responsive or respond positively to the negative shocks. Internationally, the factors can respond heterogeneously to the same shock. By mapping risks to returns, our work paves the way for a detailed exploration of the structural drivers of excess equity returns. Keywords: Fama–French factors; Monetary policy shocks; Growth shocks; Risk premium shocks; Local projections; Sign restriction; Cross-sectional test (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002078 DOI: 10.1016/j.najef.2022.101872 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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