International determinants of asymmetric dependence in investment returns

Jamie Alcock and Petra Sinagl

Journal of International Money and Finance, 2022, vol. 122, issue C

Abstract: International investors require additional compensation, charged on top of the systematic risk premium, to hold assets displaying asymmetric dependence in returns. We document that the degree and pricing of asymmetric dependence differs substantially across the 38 markets examined. Asymmetric dependence strengthens in fast-developing equity markets. We propose policy actions aimed at improving firm competition levels through reducing restrictions for new firms to enter financial markets, which may help stabilize markets and reduce conditional risk levels of equities during downturn events.

Keywords: International Asset Pricing; Asymmetric Dependence; Country Factors; State-Dependent Return Correlations (search for similar items in EconPapers)
JEL-codes: F3 G12 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002278

DOI: 10.1016/j.jimonfin.2021.102576

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