Exploring risk premium factors for country equity returns
In this paper, we study a comprehensive set of risk premia of country equity returns for 45 countries over the sample period 2002 to 2018 in both a single and a multiple factor setting. Using a new three-pass estimation method for factor risk premia by Giglio and Xiu (2021), we find that several fac...
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| Main Authors: | , |
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| Format: | Default Article |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/15036081.v1 |
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