Country Stock Market Return-Risk Relationship
February 26, 2013 - Equity Premium, Volatility Effects
Do returns for country stock markets vary systematically with the return volatilities of those markets? In their December 2012 paper entitled “Are Investors Compensated for Bearing Market Volatility in a Country?”, Samuel Liang and John Wei investigate the relationships between monthly returns and both total and idiosyncratic volatilities for country stock markets. They measure total… Keep Reading