Temporal patterns of risk premia in Japanese and U.S. capital markets

Abstract

This paper examines the intertemporal patterns of risk premia in Japanese capital markets and compares them to patterns found in U.S. markets present evidence of a January seasonal in Japanese equity risk premia similar to the pattern found in U.S. equity markets. However, the relationship between Japanese and U.S. equity risk premia does change markedly in January evidence suggests that this change is not attributable to relative changes in. Further, in contrast to U.S. bond markets, systematic risk across countries.