This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and … risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …

countries. Country characteristics and existing global and local risk factors do not account for such predictability, leading to … large abnormal returns, up to 15% per annum. We identify a global political risk factor (P-factor) commanding a risk premium …

A stock's return comes from two components, i.e., risk and risk premium of the stock. Therefore, differences in stock … returns are due to differences in risks or risk premia or both. The paper addresses to the question why stock returns are … are mostly due to differences in risk premia (especially in market's risk premia) across countries and the contributions …

We build an enhanced structural credit risk Merton style model for a risky sovereign having both domestic and foreign …

virtue of the long-run data set, we are also able to relate the importance of world consumption risk for the cross-section of … 1900 to 2008 in a setting where investors have recursive utility. We find strong evidence that a long-run risk consumption … CAPM that prices international stock returns via their exposures to multi-period consumption growth in world consumption …

fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular … market (which is a common approach in the literature), we check performance of these models for weekly data of 81 world … investable equity indices in the period of 2000-2015. Such an approach is proposed to estimate an equity risk premium for a …

After analyzing the relationship and risk type of factors, this paper proposes a new factor pricing model consisting of … factor portfolios derived from the optimal distribution of risk and return. The new factor model outperforms the Sharp …

Financial volatility risk is addressed through a multiple round evolutionary quantum game equilibrium leading to … Multifractal Self-Organized Criticality (MSOC) in the financial returns and in the risk dynamics. The model is simulated and the …