Abstract
We perform a cross-country comparison of stock market risk. Stock market risk is defined as the standard deviation of cumulative stock market returns. We model stock market returns in a VAR(1) system jointly with bond returns and a set of predictive variables. Our results provide evidence of a strong negative horizon effect for US stock market returns and a weak negative horizon effect for Germany and France. When an open economy VAR(1) is considered, we find that stock market risk increases for the United States and Germany, while the evidence for France is mixed.
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