Abstract
International investors require additional compensation, charged on top of the systematic risk premium, to hold assets displaying asymmetric dependence in returns. We document that the degree and pricing of asymmetric dependence differs substantially across the 38 markets examined. Asymmetric dependence strengthens in fast-developing equity markets. We propose policy actions aimed at improving firm competition levels through reducing restrictions for new firms to enter financial markets, which may help stabilize markets and reduce conditional risk levels of equities during downturn events.
| Original language | English |
|---|---|
| Article number | 102576 |
| Number of pages | 29 |
| Journal | Journal of International Money and Finance |
| Volume | 122 |
| Early online date | 17 Dec 2021 |
| DOIs | |
| Publication status | Published - Apr 2022 |
Bibliographical note
Funding Information:We are thankful for the valuable feedback of Robert Faff, Tobias G?tze, Anthony Hatherley, Timothy McQuade, David Michayluk, Maureen O'Hara, Andrew Patton, Talis Putnins, Jurij-Andrei Reichenecker, Stephen Satchell, Katherine Uylangco, Kathleen Walsh, Baolian Wang, Guofu Zhou, and seminar participants at University of Technology in Sydney, University of Queensland, Australian National University, the 2018 FMA European Conference, the 30th Australasian Finance and Banking Conference 2017, the 2017 FIRN Annual Conference, the 2017 FMA Annual Meeting, the 10th International Accounting & Finance Doctoral Symposium, and the 2017 Fordham Global PhD Colloquium. We have benefited from and are grateful for comments from two anonymous referees. This research was funded by the Australian Research Council grant ID: DP180104120.
Publisher Copyright:
© 2021 Elsevier Ltd
Keywords
- Asymmetric Dependence
- Country Factors
- International Asset Pricing
- State-Dependent Return Correlations
ASJC Scopus subject areas
- Finance
- Economics and Econometrics