Technical report
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English

Factors and risk premia in individual international stock returns

Number of pages61
First online date2020-07-13
Abstract

We propose an estimation methodology tailored for large unbalanced panels of individual stock

returns to study the factor structure and expected returns in international stock markets. We show

that the local market is necessary to capture the factor structure in both developed and emerging

markets. Neither the presence of multiple world risk factors, regional risk factors, systematic

currency risk factors, nor a country-specific currency subsumes the importance of the local market

factor. All factors, including the local market, carry significant risk premia across a large proportion

of countries. The contribution of pricing errors to total expected returns is large and time-varying.

Keywords
  • Approximate factor model
  • Emerging markets
  • International asset pricing
  • Large panel
  • Market integration
  • Time-varying risk premium
Citation (ISO format)
CHAIEB, Ines, LANGLOIS, Hugues, SCAILLET, Olivier. Factors and risk premia in individual international stock returns. 2020
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Identifiers
  • PID : unige:171636
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Technical informations

Creation21/09/2023 15:16:54
First validation25/09/2023 10:11:42
Update time25/09/2023 10:11:42
Status update25/09/2023 10:11:42
Last indexation01/11/2024 07:07:23
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