Global political risk and international stock returns
利用新的政治政策不确定性指标，发现各国股票市场收益存在可预测的变化，并识别出一个全球政治风险因子，该因子每年带来11%的风险溢价，高政治不确定性国家的股票收益更高。
Using novel measures of politics-policy uncertainty we document predictable variation in stock market returns across countries. Country characteristics and existing global and local risk factors do not account for such predictability, leading to large abnormal returns up to 15% per annum. We identify a global political risk factor (P-factor) commanding a risk premium of 11% per annum. High political uncertainty countries covary positively with the P-factor, earning higher average returns. Augmenting the global market portfolio with the P-factor significantly reduces pricing errors and improves cross-sectional fit. Politics-policy uncertainty affects returns through both cash-flow and discount rate channels.