国际股票市场的风险收益关系研究,即将出版

Hui Guo
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引用次数: 3

摘要

我们使用摩根士丹利资本国际(Morgan Stanley Capital international)每日股票价格指数构建的已实现方差来研究国际股票市场的风险收益关系。与CAPM相比,已实现方差本身提供的股票市场未来超额收益信息可以忽略不计;然而,在控制了(美国)消费-财富比率之后,我们发现在许多国家都存在积极而显著的风险-回报权衡。美国已实现方差也与未来国际股市收益显著相关;更重要的是,它总是包含其本地对应的信息内容。我们的研究结果表明,股票市场方差是股票溢价的重要决定因素。
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On the Risk-Return Relation in International Stock Markets, Forthcoming
We investigate the risk-return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indices. In contrast with CAPM, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk-return tradeoff in many countries after controlling for the (U.S.) consumption-wealth ratio. U.S. realized variance is also significantly related to future international stock market returns; more importantly, it always subsumes the information content of its local counterparts. Our results indicate that stock market variance is an important determinant of the equity premium.
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