The World Price of Credit Risk

被引：24

作者：

Avramov, Doron ^{[1
]}

Chordia, Tarun ^{[2
]}

Jostova, Gergana ^{[3
]}

Philipov, Alexander ^{[4
]}

机构：

[1] Hebrew Univ Jerusalem, Jerusalem, Israel

[2] Emory Univ, Goizueta Business Sch, Atlanta, GA 30322 USA

[3] George Washington Univ, Sch Business, Washington, DC 20052 USA

[4] George Mason Univ, Sch Management, MSN 5F5,4400 Univ Dr, Fairfax, VA 22030 USA

来源：

REVIEW OF ASSET PRICING STUDIES | 2012年 / 2卷 / 02期

关键词：

D O I：

10.1093/rapstu/ras012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Global asset pricing models have failed to capture the cross-section of country equity returns. Emerging markets display robust positive pricing errors, and country-level characteristics play a role in pricing international equities. This paper offers a risk-based explanation for such asset pricing deviations. A world credit risk factor is significantly priced in the cross-section of country equity returns. In its presence, the positive pricing errors in emerging markets disappear and country-level characteristics no longer play a role. The risk premium for exposure to the credit risk factor is 80 basis points per month and has increased in recent years.

引用

页码：112 / 152

页数：41

共 52 条

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