The Role of U.S. Market on International Risk‐Return Tradeoff Relations. Issue 3 (August 2017)

• Record Type: Journal Article
• Authors: Sun, Licheng; Meng, Liang; Najand, Mohammad
• Is Part Of: Financial review. Volume 52:Issue 3(2017)
• Page Start: 499
• Page End: 526
• Publication Date: 2017-08
• Subjects: risk‐return tradeoff -- international markets -- intertemporal CAPM -- lead‐lag effect -- multivariate GARCH‐in‐Mean -- G11 -- G12 -- G15; Finance -- United States -- Periodicals; Finance -- Periodicals; 332
• DOI: 10.1111/fire.12139
• Languages: English
• ISSNs: 0732-8516

Abstract

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.