The Global Determinants of International Equity Risk Premiums
研究了美国下行和上行方差风险溢价如何通过宏观经济不确定性预测国际股票回报，发现经济不确定性驱动短期全球股权风险溢价，而风险厌恶影响长期，且各国预测模式因经济金融暴露度而异。
We examine the commonalities in international equity risk premiums by linking empirical evidence for the ability of U.S. downside and upside variance risk premiums (DVP and UVP, respectively) to predict international stock returns with implications from an empirical model featuring asymmetric economic uncertainty and risk aversion. We find that DVP and UVP predict international stock returns through U.S. bad and good macroeconomic uncertainties, respectively. Sixty percent to 80% of the dynamics of the global equity risk premium for horizons under seven months are driven by economic uncertainty, whereas risk aversion appears more relevant for longer horizons. The predictability patterns of DVP and UVP vary across countries depending on those countries’ financial and economic exposure to global shocks. In those with higher economic exposure, investors demand higher compensation for bad macroeconomic uncertainty but lower compensation for good macroeconomic uncertainty, whereas the compensation for bad macroeconomic uncertainty is lower for countries with high financial exposure. This paper was accepted by Lukas Schmid, finance. Supplemental Material: The data and online appendices are available at https://doi.org/10.1287/mnsc.2023.4958 .