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Prof. Ines Chaieb and Prof. Olivier Scaillet, SFI@UNIGE, obtain a research grant from INQUIRE-EUROPE

Posted by
Anita Belitz Krasniqi
on
Tuesday, June 28, 2016 - 20:00

Prof. Ines ChaiebSFI@UNIGE, Prof. Olivier ScailletSFI@UNIGE, and Hugues Langlois, HEC Paris, obtained a EUR 10’000 research grant from INQUIRE-EUROPE. Their project, entitled "A Test for Time-varying Market Integration in Large International Equity Markets", will focus on quantifying both conditional and unconditional equity risk premia for developed and emerging markets.

This research contributes to the growing body of asset pricing literature in that it uses individual stock returns instead of portfolio or index returns. Doing so increases the accuracy level of quantifying equity risk premia and market integration.

 

Practical and policy implications of this research are broad. For bankers, relevant results will shed light on the evolution and determinants of risk premia as well as the potential counter cyclicality of risk premia. Results will address questions relevant to central bankers such as how quantitative easing affects market integration and whether international stocks are exposed to different risk factors in low versus high interest rate regimes.