GERMAN

Global Risk Premia on International Investments

By Peter Oertmann (auth.)

Book information

Publisher
Deutscher Universitätsverlag
Year
1997
ISBN
978-3-8244-6497-5, 978-3-663-08528-7
DOI
10.1007/978-3-663-08528-7
Language
german
Format
PDF
Filesize
4 MB (3999026 bytes)
Edition
1
Pages
306\324
Time added
2013-12-12 02:00:00
Economics/Management Sciencegeneral

Description

Capital investing has become a global business. More and more investors tend to allocate significant portions of their portfolios to international stock and bond markets. To successfully control the risk of globally diversified portfolios, asset managers need to have a distinct understanding of the forces influencing the returns on international financial markets. Peter Oertmann provides empirical evidence on the cross-sectional structure as well as the time-evolution of returns and expected returns on international stock and bond markets. Implementing unconditional as well as conditional beta pricing models, the author identifies global economic factors that affect the performance of international investments. The analysis reveals an association between global indicators of current and future economic health and the evolution of risk premia associated with these factors.

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