Uniform Value in Recursive Games

E. Solan, N. VIEILLE

Annals of Applied Probability

2002, vol. 12, n°4, pp.1185-1201

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Use of Predictive Modeling for Propionibacterium Strain Classification

O. Matte-Tailliez, M. TENENHAUS

Systematic and Applied Microbiology

2002, vol. 25, pp.386-395

Départements : Economie et Sciences de la décision

Utility in Case-Based Decision Theory

I. GILBOA, D. Schmeidler, P. Wakker

Journal of Economic Theory

2002, vol. 105, pp.483-502

Départements : Economie et Sciences de la décision, GREGHEC (CNRS)

Was Huntington Right? Testing Cultural Legacies and the Civilizational Border

A. Mungiu-Pippidi, D. MINDRUTA

International Politics

2002, vol. 39, n°2

Départements : Stratégie et Politique d’Entreprise, GREGHEC (CNRS)

What Determines Expected International Asset Returns

C. Harvey, G. Zhou, B. SOLNIK

Annals of Economics and Finance

2002, vol. 3, pp.249-298

Départements : Finance

This paper characterizes the forces that determine time-variation in expected international asset returns. We offer a number of innovations. By using the latent factor technique, we do not have to prespecify the sources of risk. We solve for the latent premiums and characterize their time-variation. We find evidence that the first factor premium resembles the expected return on the world market portfolio. However, the inclusion of this premium alone is not sufficient to explain the conditional variation in the returns. We find evidence of a second factor premium which is related to foreign exchange risk. Our sample includes new data on both international industry portfolios and international fixed income portfolios. We find that the two latent factor model performs better in explaining the conditional variation in asset returns than a prespecified two factor model. Finally, we show that differences in the risk loadings are important in accounting for the cross-sectional variation in the international returns