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
The world market risk premium and U.S. macroeconomic announcements. / Du, Ding; Hu, Ou.
In: Journal of International Money and Finance, Vol. 58, 1597, 01.11.2015, p. 75-97.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - The world market risk premium and U.S. macroeconomic announcements
AU - Du, Ding
AU - Hu, Ou
PY - 2015/11/1
Y1 - 2015/11/1
N2 - 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.
AB - 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.
KW - Cross-listed firms
KW - International capital asset-pricing model
KW - Macroeconomic announcements
UR - http://www.scopus.com/inward/record.url?scp=84941139503&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84941139503&partnerID=8YFLogxK
U2 - 10.1016/j.jimonfin.2015.08.006
DO - 10.1016/j.jimonfin.2015.08.006
M3 - Article
VL - 58
SP - 75
EP - 97
JO - Journal of International Money and Finance
JF - Journal of International Money and Finance
SN - 0261-5606
M1 - 1597
ER -