GLOBAL FINANCIAL-MARKETS AND THE RISK PREMIUM ON UNITED-STATES EQUITY
成果类型：
Article
署名作者：
CHAN, KC; KAROLYI, GA; STULZ, RM
署名单位：
University System of Ohio; Ohio State University; National Bureau of Economic Research
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/0304-405X(92)90016-Q
发表日期：
1992
页码：
137-167
关键词：
摘要：
There is a significant foreign influence on the risk premium for U.S. assets. Using a bivariate GARCH-in-mean process, we find that the conditional expected excess return on U.S. stocks is positively related to the conditional covariance of the return of these stocks with the return on a foreign index but is not related to its own conditional variance. Further, we are unable to reject the international version of the CAPM. We present evidence for different model specifications, multiple-day returns, and alternative proxies for foreign stock returns.