 The CAPM, National Stock Market Betas, and Macroeconomic Covariates: A Global AnalysisMichael Curran () and Adnan Velic Economic Papers from Trinity College Dublin, Economics Department Abstract: Using global data on aggregate stock market prices, this paper finds that the standard capital asset pricing model (CAPM) fares much better than suggested in the literature. At shorter time horizons, our results also show that the positive risk-reward relation can collapse during times of high volatility. Compared to advanced and emerging markets, we retrieve evidence of lower systematic risks across frontier stock market portfolios. We find that countries characterized by higher levels of financial and trade openness, exchange rate volatility, and larger economic size are exposed to higher systematic covariances with the world stock market. Conversely, we obtain evidence of an inverse link between international reserves and systematic risks in national equity. Keywords: portfolios; stock market; cross-country; systematic risk; capital asset pricing model; macroeconomic covariates (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:tcd:tcduee:tep0618 Access Statistics for this paper More papers in Economic Papers from Trinity College Dublin, Economics Department Contact information at EDIRC. |
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