منحنی بازده و برگشت های حقوق صاحبان سهام بین المللی

This paper examines empirical evidence on the international transmission of shocks to financial asset markets. The relationships between yield curves and risk premiums of stocks for eight industrialized countries are examined. Only the stocks of the three largest economies: Germany, Japan, and the USA, show negative risk premiums during periods preceded by the inverted yield curves of their respective government bonds. This is not the case for stocks of the five smaller countries in the sample. However, four of the five smaller countries have negative risk premiums in periods preceded by inverted German or US yield curves. This is consistent with the view that a world risk factor, captured by major country yield curves, affects the pricing of assets in smaller economies. The consumption CAPM is unable to explain the phenomenon of the negative risk premiums. In almost all cases the conditional covariance between consumption growth and the risk premiums is statistically indifferent from zero.

Many researchers have investigated the relation between yield curves and financial asset returns. Fama and French (1989) show that excess returns on US stocks and corporate bonds are positively related to the slope of the yield curve of US Treasury securities. Fama and French say that the yield curve has predictive ability because it is a proxy for discount rate shocks. Both stocks and long-term Treasury bonds are long-term investments, and are highly susceptible to changes in investors’ intertemporal discount rates. Boudoukh et al. (1993) and Ostdiek (1998) show how ex ante risk premiums on US stocks and the world stock portfolio are negative in periods preceded by inverted yield curves. For individual foreign countries, the research has been limited, although Asprem (1989) examined the relationship between the US term spread and the returns on stocks of ten European countries. The purpose of this research is to look at the effects of foreign country yield curves on the risk premiums of their own stocks, and also the effects of the larger economies’ yield curves (US, Germany, and Japan) on the smaller countries’ stocks. Using returns on country stock indices compiled by MSCI, these relations are tested for eight industrialized countries, including the US, for the period from 1970 to 1994. There is strong evidence for negative risk premiums for only the US, Germany, and Japan, when using each country’s own yield curve. However, negative risk premiums occur for many of the smaller economies when the US or German yield curve is inverted. The Japanese yield curve does not show this relation with the other countries’ stocks. This is consistent with the view that a world risk factor, captured by the US and German yield curves, affects the pricing of assets in smaller economies. Boudoukh et al. (1997) find that the relation between the US term spread and the risk premium on US stocks is nonlinear. This research also finds that the relation for the US variables is nonlinear, but does not find the evidence to be so strong for the other seven countries’ term spreads and stocks. However, there is a nonlinear relation between the US term spread and the risk premiums of the other seven countries’ stocks, in particular for Canada and the UK. The large differences of the conditional risk premiums signaled by upward-sloping and inverted yield curves may be due at least in part to differences in the volatility of the stock returns. This research finds that in many cases the volatility of the returns is much higher when the yield curves are upward-sloping than when they are inverted, in particular the US or German yield curves. However, the results are not perfectly consistent because the Japanese yield curve gives the opposite results. Moreover, the volatilities cannot explain why the risk premiums become negative when the yield curve inverts. Stocks are always riskier investments than Treasury bills. Why are investors willing to accept a negative expected risk premium? It seems that when confronted with an inverted yield curve they should bid down the prices of stocks and bid up the prices of short-term bonds until the risk premiums become positive. One possible explanation, suggested by Boudoukh et al. (1997), comes from the consumption capital asset pricing model (CCAPM). Investors are willing to accept the negative risk premiums if the stocks can help them smooth their consumption. If this is the case, it results in an empirically testable implication. The covariance of consumption growth with the risk premium on the stocks should be negative during periods preceded by inverted yield curves, in order for investors to accept a negative risk premium. This implication is tested using consumption data from each country. In all cases the covariances are statistically indifferent from zero and thus financial theory fails to explain the phenomena from the perspective of the investors. Section 2 describes the data. Section 3 looks at the relations between each country’s stock returns and the yield curves. Section 4 discusses the relations between the risk premiums and consumption growth. Section 5 concludes the paper.

Negative, statistically significant risk premiums occur for US, German and Japanese stocks during periods preceded by their own inverted yield curves. This phenomenon is not found for the smaller economies in the sample. In particular, Sweden, and the UK have positive risk premiums in such periods. The effects of the German and US yield curves on the smaller country’s stocks show evidence of international transmission of shocks to financial asset markets. Many of the smaller economies have negative risk premiums in periods preceded by inverted German or US yield curves. An examination of the graphs of the US and German term spreads shows that they become negative during approximately the same time periods. The Japanese yield curve does not show this relation with the smaller countries’ stock returns. For most of the country portfolios, the volatility of the risk premiums tends to be lower when either each country’s own yield curve, or the US or German yield curves are inverted. This is not the case for the Japanese yield curve. Tests for nonlinearity in the risk premium–term spread relation show that the US term spread shows a concave relation with US, Canadian, and British equities. The CCAPM is not able to explain the phenomenon of the negative risk premiums. The conditional covariance between the risk premium and consumption growth is statistically insignificant from zero. Future research should investigate what international risk factor is being transmitted across financial markets. Are the negative risk premiums a result of US and/or German monetary policy, or are real shocks involved? It would also be interesting to solve the puzzle of why investors are willing to accept the ex ante negative risk premiums.