اجرت های ریسک در بازارهای سهام بین المللی بازبینی شده

Recent evidence suggests that global equity markets are becoming more risky. We develop a model to explain risk premia in international equity markets. The model is then used to investigate the changing nature of conditional risk premia and their effect on unconditional global risk. Using this model we find that the increase in international variance and covariance of realized excess returns can be attributed to systematic variations in global risk premia correlated across markets as well. Understanding this additional source of increased global correlation is important. These results have interest both for practitioners and for those interested in modeling global asset prices.

In this study, we extend an intertemporal international APT (IIAPT) model, proposed by Brown and Otsuki (1993), to analyze the behavior of risk premia in global equity markets for the period from April 1994 to November 2007. Based on this model, we find that the model not only predicts risk premia well but also explains a significant proportion of unconditional variance. In spite of the short sample, we find that predictable changes in global risk premia explain a significant portion of the increase in global market correlations in recent years. We also document that Euro-member markets are mainly responsible for the increase in global market correlation, which complements Bekaert et al. (2005) result. We interpret these results to show that there remain significant benefits to international diversification once we control for predictable variations in global risk premia. This is an important finding both for practitioners and for those interested in modeling global asset prices.