| Author: | Li, Nanqi |
| Title: | Global pricing of financial market risk perceptions |
| Advisors: | Wei, John (AF) Chen, Te-feng (AF) |
| Degree: | M.Phil. |
| Year: | 2022 |
| Subject: | Corporate profits -- Forecasting Investment analysis Stock price forecasting Hong Kong Polytechnic University -- Dissertations |
| Department: | School of Accounting and Finance |
| Pages: | 63 pages : color illustrations |
| Language: | English |
| Abstract: | We examine the pricing of financial market risk perceptions in 46 international stock markets. Using the price of volatile stocks (PVS) as an empirical measure of risk perceptions, we find that risk perceptions can predict future stock returns global markets, with the predictability stronger in developed markets than in emerging markets. Risk perceptions also have predictive power on value, size and investment factor premiums. Further, risk perceptions of volatile stocks have globally negative real effects on the macroeconomic output gap and firm investments. Our findings suggest that investor perceptions of risk are relevant for global market risk premiums and real outcomes, whereas the relation between PVS and return predictability is related to national culture dimension of uncertainty avoidance. Financial market development, economic freedom and corporate governance also influence corporate investments in different levels of risk perceptions. |
| Rights: | All rights reserved |
| Access: | open access |
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