|
Title:
|
Uncertainty and Downside Risk in International Stock Returns
|
|
Author:
|
Aslanidis, Nektarios; Christiansen, Charlotte; Kouretas, George
|
|
Other authors:
|
Universitat Rovira i Virgili. Departament d'Economia |
|
Abstract:
|
We conduct an international analysis of the cross-sectional risk
premiums of uncertainty risk factors in addition to traditional risk factors.
We consider the stock markets in five regions separately. Internationally,
uncertainty has negative risk premiums which is similar to previous findings
for the US. This implies that investors get lower returns for assets with high
uncertainty betas. We further contribute with an analysis of downside un-
certainty risk. Here, the downside uncertainty risk factor is high uncertainty
which has additional risk premiums. We measure uncertainty by the logs of
the local and US economic policy uncertainty indices.
Keywords: International stock returns; economic policy uncertainty; Fama-
French factor models; downside risk.
JEL Classifications: G12; G15 |
|
Publication date:
|
2020 |
|
Subject (UDC):
|
33 - Economia |
|
Subject(s):
|
Mercats financers |
|
Rights:
|
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons:http://creativecommons.org/licenses/by-nc-nd/4.0/ |
|
Pages:
|
31 p. |
|
Document type:
|
Working Paper |
|
Published by:
|
Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
|
|
Collection:
|
Documents de treball del Departament d'Economia;2020-01
|
|
Share:
|
|
