Gagnon, Louis (contributor); Karolyi, G. Andrew (contributor) - 2006
) examine, empirically, the influence of foreign returns on the U.S. risk
premium. They model the daily excess returns of the …, Germany, Italy, Netherlands, Norway, Spain, Sweden, Switzerland, the U.K., and the
U.S.
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idiosyncratic risk is not … direct investments. Figure 1 shows the growth in U.S. gross
purchases from and sales to foreign investors of U.S. and …