The World Price of Covariance Risk

Published

Journal Article

In a financially integrated global market, the conditionally expected return on a portfolio of securities from a particular country is determined by the country's world risk exposure. This paper measures the conditional risk of 17 countries. The reward per unit of risk is the world price of covariance risk. Although the tests provide evidence on the conditional mean variance efficiency of the benchmark portfolio, the results show that countries' risk exposures help explain differences in performance. Evidence is also presented which indicates that these risk exposures change through time and that the world price of covariance risk is not constant. 1991 The American Finance Association

Full Text

Cited Authors

  • HARVEY, CR

Published Date

  • January 1, 1991

Published In

Volume / Issue

  • 46 / 1

Start / End Page

  • 111 - 157

Electronic International Standard Serial Number (EISSN)

  • 1540-6261

International Standard Serial Number (ISSN)

  • 0022-1082

Digital Object Identifier (DOI)

  • 10.1111/j.1540-6261.1991.tb03747.x

Citation Source

  • Scopus