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Realized semibetas and international stock return predictability

Author

Listed:
  • Amaya, Diego
  • Herrerias, Renata
  • Perez, Fernando
  • Vasquez, Aurelio

Abstract

We decompose traditional betas into semibetas based on the signed covariation between the returns of individual stocks in an international market and the returns of three risk factors: local, global, and foreign exchange. Using high-frequency data, we empirically assess stock return co-movements with these three risk factors and find novel relationships between these factors and future returns. Our analysis shows that only semibetas derived from negative risk factor and stock return downturns command significant risk premia. Global downside risk is negatively priced in the international market and local downside risk is positively priced.

Suggested Citation

  • Amaya, Diego & Herrerias, Renata & Perez, Fernando & Vasquez, Aurelio, 2023. "Realized semibetas and international stock return predictability," Finance Research Letters, Elsevier, vol. 58(PC).
    • Handle: RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323010139
    DOI: 10.1016/j.frl.2023.104641
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