Crisis Predictability in the Cross-Section of Political Uncertainty and Stock Returns
Master thesis
Permanent lenke
https://hdl.handle.net/11250/3036930Utgivelsesdato
2022Metadata
Vis full innførselSamlinger
- Master of Science [1622]
Sammendrag
This paper replicates the global political risk factor discovered by Gala,
Pagliardi, & Zenios (2020) and documents additional predictability between
political uncertainty and international stock returns by utilizing
crisis data. We identify a new P-Factor returning a risk premium of
15% annually by constructing a country-specific crisis factor, excluding
countries in a crisis from the long portfolio. Our findings provide
empirical evidence that crisis data contain favorable information in
terms of return predictability, and combining it with political ratings
leads to greater risk-adjusted returns.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance/(Financial Economics) - Handelshøyskolen BI,2022