Time-Varying Risk Premia in Large International Equity Markets
Hugues Langlois (),
Ines Chaieb () and
Olivier Scaillet ()
No 1250, HEC Research Papers Series from HEC Paris
We estimate international factor models with time-varying factor exposures and risk premia at the individual stock level using a large unbalanced panel of 58,674 stocks in 46 countries over the 1985-2017 period. We consider market, size, value, momentum, profitability, and investment factors aggregated at the country, regional, and world level. The country market in excess of the world or regional market is required in addition to world or regional factors to capture the factor structure for both developed and emerging markets. We do not reject mixed CAPM models with regional and excess country market factors for 76% of the countries. We do not reject mixed multi-factor models in 80% to 94% of countries. Value and momentum premia show more variability over time and across countries than profitability and investment premia. The excess country market premium is statistically significant in many developed and emerging markets but economically larger in emerging markets.
Keywords: large panel; approximate factor model; risk premium; international asset pricing; market integration (search for similar items in EconPapers)
JEL-codes: C12 C13 C23 C51 C52 G12 G15 (search for similar items in EconPapers)
Pages: 72 pages
Date: 2018-06-15, Revised 2019-05-29
New Economics Papers: this item is included in nep-ifn and nep-knm
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Working Paper: Time-Varying Risk Premia in Large International Equity Markets (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ebg:heccah:1250
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