Factors and risk premia in individual international stock returns

• 成果类型: Article
• 署名作者: Chaieb, Ines; Langlois, Hugues; Scaillet, Olivier
• 署名单位: University of Geneva; Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.04.007
• 发表日期: 2021
• 页码: 669-692
• 关键词: Approximate factor model; Emerging markets; International asset pricing; Large panel; Time-varying risk premium

摘要

We propose an estimation methodology tailored for large unbalanced panels of individual stock returns to study the factor structure and expected returns in international stock markets. We show that the local market is necessary to capture the factor structure in both developed and emerging markets. Neither the presence of multiple world or regional risk factors, systematic currency risk factors, nor a country-specific currency subsumes the importance of the local market factor. All factors, including the local market, carry significant risk premia across a large proportion of countries. The contribution of pricing errors to total expected returns is large and time-varying. (c) 2021 Elsevier B.V. All rights reserved.