Exploring risk premium factors for country equity returns
In 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 fac...
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rr-article-150360812021-07-17T00:00:00Z Exploring risk premium factors for country equity returns Giovanni Calice (1253097) Ming-Tsung Lin (2559364) Country equity return Country-based portfolio Country risk premium Country equity asset pricing model In 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. 2021-07-17T00:00:00Z Text Journal contribution 2134/15036081.v1 https://figshare.com/articles/journal_contribution/Exploring_risk_premium_factors_for_country_equity_returns/15036081 CC BY-NC-ND 4.0 |
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Country equity return Country-based portfolio Country risk premium Country equity asset pricing model |
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Country equity return Country-based portfolio Country risk premium Country equity asset pricing model Giovanni Calice Ming-Tsung Lin Exploring risk premium factors for country equity returns |
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In 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. |
| format |
Default Article |
| author |
Giovanni Calice Ming-Tsung Lin |
| author_facet |
Giovanni Calice Ming-Tsung Lin |
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Giovanni Calice (1253097) |
| title |
Exploring risk premium factors for country equity returns |
| title_short |
Exploring risk premium factors for country equity returns |
| title_full |
Exploring risk premium factors for country equity returns |
| title_fullStr |
Exploring risk premium factors for country equity returns |
| title_full_unstemmed |
Exploring risk premium factors for country equity returns |
| title_sort |
exploring risk premium factors for country equity returns |
| publishDate |
2021 |
| url |
https://hdl.handle.net/2134/15036081.v1 |
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1797730066621267968 |