The world market risk premium and U.S. macroeconomic announcements

Ding Du, Ou Hu

Research output: Contribution to journalArticle

6 Scopus citations

Abstract

Conditional tests of the International CAPM in previous studies (e.g., Harvey, 1991) help identify predictability but not causality. In this paper, we take an event-study approach to examine if the world market risk premium is particularly higher on prescheduled US macroeconomic announcement days. Empirically, we apply the Savor and Wilson (2014) methodology to daily US stocks as well as foreign stocks cross-listed in the US. Our findings suggest that there is a causal relationship from the state of the global economy to the world market risk premium.

Original languageEnglish (US)
Article number1597
Pages (from-to)75-97
Number of pages23
JournalJournal of International Money and Finance
Volume58
DOIs
StatePublished - Nov 1 2015

    Fingerprint

Keywords

  • Cross-listed firms
  • International capital asset-pricing model
  • Macroeconomic announcements

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this