The Effects of High Risk on International Stock Markets
Article -
Aslanidis, N., Christiansen, C. and Kouretas, G. (2023): "The Effects of High Risk on International Stock Markets", Annals of Operations Research
We conduct an international analysis of the cross-sectional risk premiums of uncertainty risk factors in addition to traditional risk factors. We consider international stock markets in five regions separately. We measure uncertainty by the local and US economic policy uncertainty indices. Economic policy uncertainty risk has negative risk premiums. This implies that investors get lower returns for assets with high uncertainty betas. We further analyze a nonlinear relationship between excess returns and uncertainty risk by adding the downside economic policy uncertainty risk factor which captures high levels of uncertainty, similar to downside market risk. The downside uncertainty risk factor has negative risk premiums
Related elements
Share
Nektarios Aslanidis