Journal article
International determinants of asymmetric dependence in investment returns
Journal of international money and finance, Vol.122, p.102576
04/2022
DOI: 10.1016/j.jimonfin.2021.102576
Abstract
•Asymmetric dependence is the only factor consistently priced in all markets examined.•The degree of asymmetric dependence is stronger in economies with faster-growing financial markets.•Policy aimed at improving market competition may help stabilize financial markets.
International investors require additional compensation, charged on top of the systematic risk premium, to hold assets displaying asymmetric dependence in returns. We document that the degree and pricing of asymmetric dependence differs substantially across the 38 markets examined. Asymmetric dependence strengthens in fast-developing equity markets. We propose policy actions aimed at improving firm competition levels through reducing restrictions for new firms to enter financial markets, which may help stabilize markets and reduce conditional risk levels of equities during downturn events.
Details
- Title: Subtitle
- International determinants of asymmetric dependence in investment returns
- Creators
- Jamie Alcock - University of OxfordPetra Sinagl - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of international money and finance, Vol.122, p.102576
- Publisher
- Elsevier Ltd
- DOI
- 10.1016/j.jimonfin.2021.102576
- ISSN
- 0261-5606
- eISSN
- 1873-0639
- Grant note
- DOI: 10.13039/501100000923, name: Australian Research Council, award: DP180104120
- Language
- English
- Date published
- 04/2022
- Academic Unit
- Finance
- Record Identifier
- 9984380560202771
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