We propose an estimation methodology tailored for large unbalanced panels of individual stock returns to study the factor structure and expected returns in international stock markets. We show that the local market is necessary to capture the factor structure in both developed and emerging markets. Neither the presence of multiple world or regional risk factors, systematic currency risk factors, nor a country-specific currency subsumes the importance of the local market factor. All factors, including the local market, carry significant risk premia across a large proportion of countries. The contribution of pricing errors to total expected returns is large and time-varying.

我们提出了一种为大型不平衡个股收益面板量身定制的估计方法，以研究国际股票市场的因子结构和预期收益。我们表明，本地市场对于捕捉发达市场和新兴市场的要素结构都是必要的。多个世界或区域风险因素、系统性货币风险因素或特定国家货币的存在均不包含当地市场因素的重要性。所有因素，包括当地市场，在大部分国家都具有显着的风险溢价。定价错误对总预期回报的贡献很大且随时间变化。