The international risk-return relationships during up and down markets: a re-assessment

Employing a multiple regression approach with correction for the effects of heteroskedasticity and autocorrelation of the residuals using the method of Newey and West (1987), this paper reexamines the risk-return relationships of 13 international stock markets during up and down markets. Our results provide robust evidence that not only beta, but also unsystematic risk and skewness are useful and relevant risk measures in international stock markets.