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

Ding Du; Ou Hu

doi:10.1016/j.jimonfin.2015.08.006

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

Ding Du, Ou Hu

Business, W.A. Franke College of

Research output: Contribution to journal › Article › peer-review

7 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 language	English (US)
Article number	1597
Pages (from-to)	75-97
Number of pages	23
Journal	Journal of International Money and Finance
Volume	58
DOIs	https://doi.org/10.1016/j.jimonfin.2015.08.006
State	Published - Nov 1 2015

Keywords

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

ASJC Scopus subject areas

Economics and Econometrics
Finance

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