Factors and risk premia in individual international stock returns

نویسندگان

چکیده

We propose an estimation methodology tailored for large unbalanced panels of individual stock returns to study the factor structure and expected in international markets. show that local market is necessary capture both developed emerging Neither presence multiple world or regional risk factors, systematic currency nor a country-specific subsumes importance factor. All including market, carry significant premia across proportion countries. The contribution pricing errors total time-varying.

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ژورنال

عنوان ژورنال: Journal of Financial Economics

سال: 2021

ISSN: ['1879-2774', '0304-405X']

DOI: https://doi.org/10.1016/j.jfineco.2021.04.007