The Global Determinants of International Equity Risk Premiums
References
- (2019) Vulnerable growth. Amer. Econom. Rev. 109(4):1263–1289.Crossref, Google Scholar
- (2020) Global and domestic financial cycles: Variations on a theme. Bank for International Settlements (BIS) Working Paper No. 864, Basel, Switzerland.Google Scholar
- (2000) Economic integration and political disintegration. Amer. Econom. Rev. 90(5):1276–1296.Crossref, Google Scholar
- (2009) Dissecting the market pricing of return volatility. Working paper, Northwestern University, Evanston, IL.Google Scholar
- (2020) The shifting drivers of global liquidity. J. Internat. Econom. 125:103324.Crossref, Google Scholar
- (2006) Maximum likelihood estimation of latent affine processes. Rev. Financial Stud. 19(3):909–965.Crossref, Google Scholar
- (2017) Asset return dynamics under habits and bad environment–good environment fundamentals. J. Political Econom. 125(3):713–760.Crossref, Google Scholar
- (2003) Emerging markets finance. J. Empirical Finance 10(1–2):3–55.Crossref, Google Scholar
- (2014) The vix, the variance premium and stock market volatility. J. Econometrics 183(2):181–192.Crossref, Google Scholar
- (2019) On the link between the volatility and skewness of growth. IMF Econom. Rev. 67(6):746–790.Crossref, Google Scholar
- (2022) The time variation in risk appetite and uncertainty. Management Sci. 68(6):3975–4004.Link, Google Scholar
- (2023) Risk, monetary policy and asset prices in a global world. Working paper, Columbia University, New York.Google Scholar
- (2016) Globalization and asset returns. Annu. Rev. Financial Econom. 8:221–288.Crossref, Google Scholar
- (2009) Expected stock returns and variance risk premia. Rev. Financial Stud. 22(11):4463–4492.Crossref, Google Scholar
- (2014) Stock return predictability and variance risk premia: Statistical inference and international evidence. J. Financial Quant. Anal. 49(3):633–661.Crossref, Google Scholar
- (2020) The international effects of global financial uncertainty shocks. J. Internat. Money Finance 109(C):102236.Crossref, Google Scholar
- (2000) Option prices, implied price processes, and stochastic volatility. J. Finance 55(2):839–866.Crossref, Google Scholar
- (1999) By force of habit: A consumption-based explanation of aggregate stock market behavior. J. Political Econom. 107(2):205–251.Crossref, Google Scholar
- (2007) Characterizing world market integration through time. J. Financial Quant. Anal. 42(4):915–940.Crossref, Google Scholar
- (2010) The short and long run benefits of financial integration. Amer. Econom. Rev. 100(2):527–531.Crossref, Google Scholar
- (2018) Currency risk factors in a recursive multicountry economy. J. Finance 73(6):2719–2756.Crossref, Google Scholar
- (2009) A simple approximate long-memory model of realized volatility. J. Financial Econom. 7(2):174–196.Crossref, Google Scholar
- (2015) Investor information, long-run risk, and the term structure of equity. Rev. Financial Stud. 28(3):706–742.Crossref, Google Scholar
- (2013) What ties return volatilities to price valuations and fundamentals? J. Political Econom. 121(4):682–746.Crossref, Google Scholar
- (2015) Solving asset pricing models with stochastic volatility. J. Econom. Dynamic Control 52:308–321.Crossref, Google Scholar
- (2022) Global trade and gdp comovement. J. Econom. Dynamic Control 138:165–188.Crossref, Google Scholar
- (2013) Uncertainty, time-varying fear, and asset prices. J. Finance 68(5):1843–1889.Crossref, Google Scholar
- (2008) An equilibrium guide to designing affine pricing models. Math. Finance 18(4):519–543.Crossref, Google Scholar
- (2016) Capital control measures: A new data set. IMF Econom. Rev. 64(3):548–574.Crossref, Google Scholar
- (2017) Downside variance risk premium. J. Financial Econom. 16(3):341–383.Crossref, Google Scholar
- (2020) The term structures of expected loss and gain uncertainty. J. Financial Econom. 18(3):473–501.Crossref, Google Scholar
- (2015) Self-exciting jumps, learning, and asset pricing implications. Rev. Financial Stud. 28(3):876–912.Crossref, Google Scholar
- (2012) Rare disasters: An exactly solved framework for ten puzzles in macro-finance. Quart. J. Econom. 127(2):645–700.Crossref, Google Scholar
- (2005) The long-run equity risk premium. Finance Res. Lett. 2(4):185–194.Crossref, Google Scholar
- (2020) Up-and downside variance risk premia in global equity markets. J. Bank. Finance 118(C):105875.Crossref, Google Scholar
- (2012) Do arbitrageurs amplify economic shocks? J. Financial Econom. 103(3):454–470.Crossref, Google Scholar
- (2015) Measuring uncertainty. Amer. Econom. Rev. 105(3):1177–1216.Crossref, Google Scholar
- (2019) Good and bad variance premia and expected returns. Management Sci. 65(6):2445–2945.Google Scholar
- (2009) Financial globalization: A reappraisal. IMF Staff Papers 56(1):8–62.Crossref, Google Scholar
- (2015) The variance risk premium around the world. Working paper, Federal Reserve Board, Washington, DC.Google Scholar
- (2017) What is the expected return on the market? Quart. J. Econom. 132(1):367–433.Crossref, Google Scholar
- (2020) U.S. monetary policy and the global financial cycle. Rev. Econom. Stud. 87(6):2754–2776.Crossref, Google Scholar
- (2013) International stock return predictability: What is the role of the United States? J. Finance 68(4):1633–1662.Crossref, Google Scholar
- (2010) Financial integration, investment, and economic growth: Evidence from two eras of financial globalization. Rev. Econom. Statist. 92(4):756–768.Crossref, Google Scholar
- (2015) Good and bad uncertainty: Macroeconomic and financial market implications. J. Financial Econom. 117(2):369–397.Crossref, Google Scholar
- (2021) Break risk. Rev. Financial Stud. 34(4):2045–2100.Crossref, Google Scholar
- (2017) Asset prices and risk sharing in open economies. Rev. Financial Stud. 30(2):363–415.Crossref, Google Scholar
- (2012) On the timing and pricing of dividends. Amer. Econom. Rev. 102(4):1596–1618.Crossref, Google Scholar
- (2013) Equity yields. J. Financial Econom. 110(3):503–519.Crossref, Google Scholar
- (2006) A consumption-based model of the term structure of interest rates. J. Financial Econom. 79(2):365–399.Crossref, Google Scholar
- (2019) Global risk aversion and international return comovements. Working paper, Boston College, Boston.Google Scholar
- (2021) Procyclicality of the comovement between dividend growth and consumption growth. J. Financial Econom. 139(1):288–312.Crossref, Google Scholar
- (2023) Main street’s pain, Wall Street’s gain. Working paper, Boston College, Boston.Google Scholar

