Journal of Financial Economics Vol. 32 No. 2 1992
Global financial markets and the risk premium on U.S. equity
open access
Abstract
There is a significant foreign influence on the risk premium for U.S. assets. Using a bivariate GARCH-in-mean process, we find that the conditional expected excess return on U.S. stocks is positively related to the conditional covariance of the return of these stocks with the return on a foreign index but is not related to its own conditional variance. Further, we are unable to reject the international version of the CAPM. We present evidence for different model specifications, multiple-day returns, and alternative proxies for foreign stock returns.
- DOI
- 10.1016/0304-405x(92)90016-q
- Volume
- 32
- Issue
- 2
- Pages
- 137-167
- Language
- en
- Sources
- crossref bibtex:phds-export.bib openalex