The World Price of Covariance Risk 来自 Semantic Scholar 喜欢 0 阅读量: 143 作者: CR Harvey 摘要: In a financially integrated global market, the conditionally expected return on a portfolio of securities from a particular country is determined by the country's world risk exposure. This paper ...
financial integrationinternational asset pricingworld covariance riskMSCI indicesWe investigate whether recent country-level evidence of global pricing is particular to large-cap stocks. Specifically, we examine cross-country return correlatSocial Science Electronic Publishing...
C.R. Harvey The world price of covariance risk Journal of Finance, 46 (1991), pp. 111-155 CrossrefGoogle Scholar Heaton, 1995 J. Heaton An empirical investigation of asset pricing with temporally dependent preference specifications Econometrica, 63 (1995), pp. 681-717 CrossrefGoogle Scholar Hu...
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For risk-averse investors, when the expected future price of the investment is high (low), the marginal utility of future consumption relative to that of current consumption is low (high). Hence, the covariance of the inter-temporal rate of substitution with asset price is expected to be ...
Decades later, in the times of COVID-19, the world has not only experienced a health crisis, but has also faced unprecedented economic losses as the consequence of the pandemic. Investors and market participants are bound to be worried about the economic resiliency as long as this deadly ...
Moreover, the Russian-Ukrainian conflict is one of the factors that has inflamed the already “hot” prices of commodities: not only those used as energy sources (oil and gas) but also industrial metals and agricultural products (wheat and corn) that feed many countries of the world. Already...
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