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 | |
| State | Published - Nov 1 2015 |
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Keywords
- Cross-listed firms
- International capital asset-pricing model
- Macroeconomic announcements
ASJC Scopus subject areas
- Economics and Econometrics
- Finance
Cite this
Du, D., & Hu, O. (2015). The world market risk premium and U.S. macroeconomic announcements. Journal of International Money and Finance, 58, 75-97. [1597]. https://doi.org/10.1016/j.jimonfin.2015.08.006