Jump to ContentJump to Main Navigation
International FinanceA Survey$
Users without a subscription are not able to see the full content.

H. Kent Baker and Leigh A. Riddick

Print publication date: 2012

Print ISBN-13: 9780199754656

Published to Oxford Scholarship Online: May 2013

DOI: 10.1093/acprof:oso/9780199754656.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 14 April 2021

International Equity Markets: Risk and Return

International Equity Markets: Risk and Return

(p.184) 9 International Equity Markets: Risk and Return
International Finance




Oxford University Press

There is mixed evidence from U.S. studies on the relationship between conditional expected market returns and conditional variance. This chapter investigates the risk-return tradeoff in the international context. Using market return data from 27 emerging countries, pooled panel regressions show a significantly positive relationship between monthly excess market returns and realized variance measures that are constructed based on past daily returns over windows ranging from six to 12 months. The same relationship does not hold when the analysis is repeated for 25 developed countries. Stacked time-series and stacked cross-sectional regressions indicate that a cross-sectional correlation across countries rather than an intertemporal relation drives the positive risk-return tradeoff in emerging countries. A significantly positive relationship exists between dividend yield and aggregate returns for emerging markets but this does not affect the positive risk-return tradeoff.

Keywords:   international equity index returns, risk-return relation, intertemporal CAPM, realized variance

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .