The Global Determinants of International Equity Risk Premiums

The views expressed in this document do not necessarily reflect those of the Federal Reserve System or its staff. The authors thank Lukas Schmid, department editor, an associate editor, and two anonymous referees for helpful comments. The authors also thank Max Croce, Kasper Joergensen, Mete Kilic, Terry Pan, Frank Warnock, Dacheng Xiu, Guofu Zhou, Hao Zhou, and seminar/conference participants at the 2021 American Economic Association meeting, the 2019 Stanford Institute for Theoretical Economics (SITE) Annual Meeting, the 2019 North American Summer Meeting of the Econometric Society, the 2019 Western Finance Association’s Early Career Women in Finance Conference, the 2019 European Finance Association Annual Meeting, the 2019 Midwest Finance Association Annual Meeting, the 2019 Financial Management Association Annual Meeting, the 2019 Global Conference in Latin America, the 2018 China International Risk Forum, the 2018 Econometric Society European winter meeting, and the Boston College (Carroll) and Boston Macro Juniors Workshop (held at Massachusetts Institute of Technology Sloan). The paper was previously circulated under the title “Variance Risk Premium Components and International Stock Return Predictability.” All errors are our own.