This study investigates whether long-run conditional covariance risk is linked to expected returns in the Intertemporal CAPM framework. We observe that the long-run value risk is positively associated with the expected returns on the global portfolios excluding the US. We also find that the long-run momentum risk is negatively related to the expected returns. In contrast, the long-run market risk is not associated with them, due to the low covariance variation across portfolios. Finally, we uncover that the long-run value premiums were strong for the global and European portfolios before the COVID-19 pandemic.

中文翻译：

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跨期 CAPM 中的长期风险溢价：国际证据

本研究调查长期条件协方差风险是否与跨期 CAPM 框架中的预期收益相关。我们观察到，长期价值风险与除美国外的全球投资组合的预期回报呈正相关。我们还发现，长期动量风险与预期回报负相关。相反，由于投资组合之间的协方差变化较低，长期市场风险与它们无关。最后，我们发现在 COVID-19 大流行之前，全球和欧洲投资组合的长期价值溢价很高。