The Role of U.S. Market on International Risk‐Return Tradeoff Relations
研究了18个国际市场的跨期风险收益权衡关系，发现加入美国市场收益后，多数市场的风险收益关系由负转正，这与美国市场的领先滞后效应一致。
Abstract We study the intertemporal risk‐return tradeoff relations based on returns from 18 international markets. We find striking new empirical evidence that the inclusion of U.S. market returns significantly changes the estimated risk‐return tradeoff relations in international markets from mostly negative to predominantly positive. Our results are consistent with the lead‐lag effect between U.S. and international markets in the sense of Rapach, Strauss and Zhou.