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Global Financial Markets and the Risk Premium on U.S. Equity / K.C. Chan, G. Andrew Karolyi, Rene M. Stulz.
- Format:
- Book
- Author/Creator:
- Chan, K.C.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w4074.
- NBER working paper series no. w4074
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1992.
- Summary:
- We document that there is a significant foreign influence on the risk premium of U.S. assets. Using a bivariate GARCH-in-mean process for conditional expected excess returns, 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. Evidence is presented for different model specifications, multiple-day returns and alternative proxies of foreign stock returns including the Nikkei 225 Stock Average, Morgan Stanley Japan and Morgan Stanley EAFE indices.
- Notes:
- Print version record
- May 1992.
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