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US macroannouncements and international asset pricing

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  • Ding Du

Abstract

The world capital asset†pricing model is the benchmark model in international finance. However, recent research finds that the premium on the world market factor is insignificant. In this paper, we investigate if the world market risk premium is particularly significant on US macroeconomic announcement days. Empirically, we apply the methodology to daily country exchange†traded funds. Our findings suggest that although the world market risk premium is insignificant on nonannouncement days, it is strongly significant on US macroeconomic announcement days. In addition, we find that US monetary policy announcements are the most important macroeconomic announcements to drive the world market risk premium. Our findings are consistent with the notion of monetary policy uncertainty and the empirical literature that connects policy uncertainty with systematic risk.

Suggested Citation

  • Ding Du, 2017. "US macroannouncements and international asset pricing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(4), pages 352-367, October.
    • Handle: RePEc:wly:ijfiec:v:22:y:2017:i:4:p:352-367
    DOI: 10.1002/ijfe.1592
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    Cited by:

    1. de la Rue du Can, Stephane & Khandekar, Aditya & Abhyankar, Nikit & Phadke, Amol & Khanna, Nina Zheng & Fridley, David & Zhou, Nan, 2019. "Modeling India’s energy future using a bottom-up approach," Applied Energy, Elsevier, vol. 238(C), pages 1108-1125.
    2. Yunus, Nafeesa, 2023. "Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 211-232.
    3. G.A. Upali Wickramasinghe, 2017. "Fostering productivity in the rural and agricultural sector for inclusive growth in Asia and the Pacific," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), vol. 24(2), pages 1-22, December.
    4. Du, Ding & Osmonbekov, Talai, 2020. "Direct effect of advertising spending on firm value: Moderating role of financial analyst coverage," International Journal of Research in Marketing, Elsevier, vol. 37(1), pages 196-212.
    5. Shuyu Zhang & Dunli Zhang & Jianming Zheng & Walter Aerts, 2021. "Does policy uncertainty of the blockchain dampen ICO markets?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1625-1637, April.

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