Autor según el artículo: Aslanidis, N; Christiansen, C; Kouretas, GP
Departamento: Economia
Autor/es de la URV: Aslanidis, Nektarios
Palabras clave: International stock returns Factor models Economic policy uncertainty Downside risk
Resumen: We conduct an international analysis of the cross-sectional risk premiums of uncertainty risk factors in addition to traditional risk factors. We consider international stock markets in five regions separately. We measure uncertainty by the local and US economic policy uncertainty indices. Economic policy uncertainty risk has negative risk premiums. This implies that investors get lower returns for assets with high uncertainty betas. We further analyze a nonlinear relationship between excess returns and uncertainty risk by adding the downside economic policy uncertainty risk factor which captures high levels of uncertainty, similar to downside market risk. The downside uncertainty risk factor has negative risk premiums.
Áreas temáticas: Saúde coletiva Operations research & management science Medicina i Matemática / probabilidade e estatística Management science and operations research Interdisciplinar General decision sciences Ensino Engenharias iv Engenharias iii Engenharias i Economia Decision sciences (miscellaneous) Decision sciences (all) Ciencias sociales Ciências agrárias i Ciência da computação Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
Direcció de correo del autor: nektarios.aslanidis@urv.cat nektarios.aslanidis@urv.cat
Identificador del autor: 0000-0001-8990-920X 0000-0001-8990-920X
Fecha de alta del registro: 2023-12-17
Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
URL Documento de licencia: http://repositori.urv.cat/ca/proteccio-de-dades/
Referencia al articulo segun fuente origial: Annals Of Operations Research.
Referencia de l'ítem segons les normes APA: Aslanidis, N; Christiansen, C; Kouretas, GP (2023). The effects of high uncertainty risk on international stock markets. Annals Of Operations Research, (), -. DOI: 10.1007/s10479-023-05664-0
DOI del artículo: 10.1007/s10479-023-05664-0
Entidad: Universitat Rovira i Virgili
Año de publicación de la revista: 2023
Tipo de publicación: Journal Publications
Repositori URV