The world market risk premium and U.S. macroeconomic announcements
نویسندگان
چکیده
Conditional tests of the International CAPM in previous studies (e.g., Harvey, 1991) help identify predictability but not causality. In this paper, we take an event-study approach to examine if the world market risk premium is particularly higher on prescheduled USmacroeconomic announcement days. Empirically, we apply the Savor andWilson (2014) methodology to daily US stocks as well as foreign stocks cross-listed in the US. Our findings suggest that there is a causal relationship from the state of the global economy to the world market risk premium. Published by Elsevier Ltd.
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