US macroannouncements and international asset pricing

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

The world capital asset-pricing model is the benchmark model in international finance. However, recent research finds that the premium on the world market factor is insignificant. In this paper, we investigate if the world market risk premium is particularly significant on US macroeconomic announcement days. Empirically, we apply the methodology to daily country exchange-traded funds. Our findings suggest that although the world market risk premium is insignificant on nonannouncement days, it is strongly significant on US macroeconomic announcement days. In addition, we find that US monetary policy announcements are the most important macroeconomic announcements to drive the world market risk premium. Our findings are consistent with the notion of monetary policy uncertainty and the empirical literature that connects policy uncertainty with systematic risk.

Original languageEnglish (US)
Pages (from-to)352-367
Number of pages16
JournalInternational Journal of Finance and Economics
Volume22
Issue number4
DOIs
StatePublished - Oct 1 2017
Externally publishedYes

Fingerprint

World market
International asset pricing
Market risk premium
Macroeconomic announcements
Monetary policy
Policy uncertainty
Market factors
Announcement
Systematic risk
Benchmark
Exchange traded funds
Methodology
International finance
Capital asset pricing model
Premium

Keywords

  • exchange-traded funds
  • macroeconomic announcements
  • monetary policy
  • world capital asset-pricing model

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

US macroannouncements and international asset pricing. / Du, Ding.

In: International Journal of Finance and Economics, Vol. 22, No. 4, 01.10.2017, p. 352-367.

Research output: Contribution to journalArticle

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