dc.contributor
Universitat Rovira i Virgili. Departament d'Economia
dc.contributor.author
Aslanidis, Nektarios
dc.contributor.author
Christiansen, Charlotte
dc.contributor.author
Kouretas, George
dc.date.accessioned
2020-06-11T07:53:46Z
dc.date.accessioned
2024-12-10T13:30:42Z
dc.date.available
2020-06-11T07:53:46Z
dc.date.available
2024-12-10T13:30:42Z
dc.date.created
2020-01-08
dc.identifier.uri
http://hdl.handle.net/2072/376032
dc.description.abstract
We conduct an international analysis of the cross-sectional risk
premiums of uncertainty risk factors in addition to traditional risk factors.
We consider the stock markets in five regions separately. Internationally,
uncertainty has negative risk premiums which is similar to previous findings
for the US. This implies that investors get lower returns for assets with high
uncertainty betas. We further contribute with an analysis of downside un-
certainty risk. Here, the downside uncertainty risk factor is high uncertainty
which has additional risk premiums. We measure uncertainty by the logs of
the local and US economic policy uncertainty indices.
Keywords: International stock returns; economic policy uncertainty; Fama-
French factor models; downside risk.
JEL Classifications: G12; G15
eng
dc.format.extent
31 p.
cat
dc.publisher
Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
cat
dc.relation.ispartofseries
Documents de treball del Departament d'Economia;2020-01
dc.rights
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons:http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.source
RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject.other
Mercats financers
cat
dc.title
Uncertainty and Downside Risk in International Stock Returns
cat
dc.type
info:eu-repo/semantics/workingPaper
cat
dc.rights.accessLevel
info:eu-repo/semantics/openAccess
