This research takes a different approach to examining the international riskreturn tradeoff nexus from an econometrician's viewpoint. We study this tradeoff based on returns from 28 countries, covering a wide range of advanced and emerging markets. In contrast to the existing literature, we conduct panel data analysis that allows for cross-sectional dependence, along with the fixed-effects pooled OLS method that can produce consistent estimators. Empirical results show that the proposed approach could be a practical guide for investment portfolio, because of (i) the positive risk-return relation for both advanced and emerging economies, especially when it is associated with the business cycle, and (ii) the convincing out-of-sample forecasts by the fixed-effects pooled panel predictions.

这项研究采用了不同的方法来从计量经济学家的角度研究国际风险收益权衡关系。我们基于28个国家/地区的收益进行了权衡，涵盖了广泛的先进市场和新兴市场。与现有文献相反，我们进行面板数据分析以允许横截面相关性，以及进行固定效果的OLS合并方法（可以产生一致的估计量）。实证结果表明，由于（i）发达经济体和新兴经济体均具有正的风险-收益关系，尤其是当其与商业周期相关时，以及（ii）令人信服的方法，因此该方法可以作为投资组合的实用指南。固定效果汇总面板预测的样本外预测。