International determinants of asymmetric dependence in investment returns

Jamie Alcock, Petra Sinagl*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

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 languageEnglish
Article number102576
Number of pages29
JournalJournal of International Money and Finance
Volume122
Early online date17 Dec 2021
DOIs
Publication statusPublished - 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

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