Avramov, Doron
[Verfasser:in]
;
Chordia, Tarun
[Sonstige Person, Familie und Körperschaft];
Jostova, Gergana
[Sonstige Person, Familie und Körperschaft];
Philipov, Alexander
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1, 2012 erstellt
Beschreibung:
Global asset pricing models have failed to capture the cross section of country equity returns. Emerging markets display robust positive pricing errors and country-level characteristics play a role in pricing international equities. This paper offers a risk-based explanation for such asset pricing deviations. A world credit risk factor is significantly priced in the cross section of country equity returns. In its presence, the positive pricing errors in emerging markets disappear and country-level characteristics no longer play a role. The risk premium for exposure to the credit risk factor is 80 basis points per month and has increased in recent years