| ID | 66122 |
| フルテキストURL | |
| 著者 |
Sakemoto, Ryuta
Okayama University, Okayama-ken, Japan and Keio Economic Observatory, Keio University
ORCID
Kaken ID
publons
researchmap
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| 抄録 | This study investigates whether long-run conditional covariance risk is linked to expected returns in the Intertemporal CAPM framework. We observe that the long-run value risk is positively associated with the expected returns on the global portfolios excluding the US. We also find that the long-run momentum risk is negatively related to the expected returns. In contrast, the long-run market risk is not associated with them, due to the low covariance variation across portfolios. Finally, we uncover that the long-run value premiums were strong for the global and European portfolios before the COVID-19 pandemic.
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| キーワード | ICAPM
long-run risk
value anomalies
factor models
COVID-19
DCC-MIDAS
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| 備考 | © 2023 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
This fulltext file will be available in Oct. 2025.
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| 発行日 | 2023-12
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| 出版物タイトル |
Journal of International Financial Markets, Institutions and Money
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| 巻 | 89巻
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| 出版者 | Elsevier BV
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| 開始ページ | 101854
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| ISSN | 1042-4431
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| NCID | AA10818219
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| 資料タイプ |
学術雑誌論文
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| 言語 |
英語
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| OAI-PMH Set |
岡山大学
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| 著作権者 | © 2023 Elsevier B.V.
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| 論文のバージョン | author
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| DOI | |
| Web of Science KeyUT | |
| 関連URL | isVersionOf https://doi.org/10.1016/j.intfin.2023.101854
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| ライセンス | https://creativecommons.org/licenses/by-nc-nd/4.0/
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| 助成機関名 |
Japan Society for the Promotion of Science
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| 助成番号 | 20K22092
22K13430
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