The long-run risk premium in the intertemporal CAPM: International evidence

Ryuta Sakemoto

Journal of International Financial Markets, Institutions and Money, 2023, vol. 89, issue C

Abstract: This study investigates whether long-run conditional covariance risk is linked to expected returns in the Intertemporal CAPM framework. We observe that the long-run value risk is positively associated with the expected returns on the global portfolios excluding the US. We also find that the long-run momentum risk is negatively related to the expected returns. In contrast, the long-run market risk is not associated with them, due to the low covariance variation across portfolios. Finally, we uncover that the long-run value premiums were strong for the global and European portfolios before the COVID-19 pandemic.

Keywords: ICAPM; Long-run risk; Value anomalies; Factor models; COVID-19; DCC-MIDAS (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001221

DOI: 10.1016/j.intfin.2023.101854

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