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Exploring risk premium factors for country equity returns
journal contribution
posted on 2021-07-23, 08:01 authored by Giovanni Calice, Ming-Tsung LinIn this paper, we study a comprehensive set of risk premia of country equity returns for 45 countries over the sample period 2002 to 2018 in both a single and a multiple factor setting. Using a new three-pass estimation method for factor risk premia by Giglio and Xiu (2021), we find that several factors, including default risk, are also priced in country equity excess returns, controlled by the Fama–French 5-factor and Carhart model. Moreover, we apply a novel approach to investigate the multi-factor impact on country equity returns. We find that the multi-factor information, constructed from the first principal component of the statistically significant single factors, provides a consistent and stronger prediction of anomalies in country equity returns.
History
School
- Business and Economics
Department
- Business
Published in
Journal of Empirical FinanceVolume
63Pages
294-322Publisher
Elsevier BVVersion
- AM (Accepted Manuscript)
Rights holder
© ElsevierPublisher statement
This paper was accepted for publication in the journal Journal of Empirical Finance and the definitive published version is available at https://doi.org/10.1016/j.jempfin.2021.07.003.Acceptance date
2021-07-13Publication date
2021-07-17Copyright date
2021ISSN
0927-5398Publisher version
Language
- en
Depositor
Dr Giovanni Calice. Deposit date: 22 July 2021Usage metrics
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