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Title: Time-varying risk premia in large international equity markets Authors:  Hugues Langlois - HEC Paris (France) [presenting]
Abstract: The aim is to estimate international no-arbitrage factor models with time-varying factor exposures and risk premia at the individual stock level using a large unbalanced panel of 58,674 stocks in 46 countries over the 1985-2017 period. Multi-factor models with regional and country-specific factors perform well. Factor risk premia vary over time and across countries and are more volatile in emerging markets. The country-specific risk factor premia are important in emerging markets and to a lesser extent in developed markets. Both the four- and the five-factor models capture the factor structure in U.S.-denominated international stock returns.