Political risk is expected to increase due to emerging markets’ increasing influence on the world economy. We identify legal, tension, conflict and policy as underlying dimensions through principal component analysis by using a disaggregated political risk index. Using a two-way error correction model, ethnic and religious tension is identified as a new and distinct dimension of political risk. Consequently, global investors are likely to benefit from understanding which dimension implies a reward. Investors in particular should direct their attention towards tension, which seems to command a risk premium regardless of both market and time. JEL Classification: C33, F30, F50, G15

中文翻译：

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政治风险的基本层面如何影响新兴市场和发达市场中的超额收益

由于新兴市场对世界经济的影响越来越大，预计政治风险将增加。通过使用分类的政治风险指数进行主成分分析，我们将法律，紧张，冲突和政策确定为基本维度。使用双向错误纠正模型，种族和宗教紧张局势被确定为政治风险的一个新的独特维度。因此，全球投资者可能会受益于了解哪个层面意味着回报。投资者尤其应将注意力转移到紧张局势上，而紧张局势似乎无论市场和时间如何，都将带来风险溢价。JEL分类：C33，F30，F50，G15