I dagens globaliserade samhälle är det enkelt att placera sitt kapital på olika marknader. Dock kan det innebära både risker och möjligheter för investeraren. Vilket betyder att det satsade kapitalet antingen kan bli en lönsam investering eller gå förlorat. Bör hänsyn tas till landsrisker på aktiemarknaden för att kunna bedöma investeringens lönsamhet? Syftet med studien är att ta reda på vilken betydelse landsrisker har för avkastningen i industri- respektive tillväxtländer. Men även undersöka om det finns något samband mellan avkastningen och penningmarknadsräntan samt korruption. Studiens utfall visar att det är viktigt att ta hänsyn till landsrisker på aktiemarknaden. Att högre risk genererar högre avkastning och vice versa. Detta gäller för både industri- och tillväxtländer. Det oförväntade utfallet i denna studie är att industriländerna har en högre risk och därmed en högre avkastning i jämförelse med tillväxtländerna. Den finansiella faktorn penningmarknadsräntan är av mindre betydelse för avkastningen i ett land. Samtidigt är den politiska faktorn korruption en väsentlig risk att ta hänsyn till vid investeringar i främmande länder. / In today's globalized society, it is easy to invest in different markets. That involves both risks and opportunities for the investor. This means that the capital may either be a profitable investment or not. Should one take into account country risks in the stock market to assess the profitability of the investment? The purpose of this study is to determine what importance the country risk has to the return in the stock market at both developed and emerging countries. But also to investigate whether there is any correlation between income and the money market rate and corruption. The results of this study show that it is important to take into account country risks in the stock market. Higher risk generates higher returns in the stock market and vice versa. This can be applied to both developed and emerging countries. The unexpected outcome of this study is that developed countries have a higher risk than the emerging countries and therefore a higher return in the stock market. The financial factor – money market rate – is of minor importance for the return. Meanwhile, the political factor – corruption – is a significant risk to consider when investing in foreign countries.

This thesis consists of four self-contained essays on the various topics in finance.  The first essay, The Information Content of The Systematic Risk Structure of Corporate Yields for Future Real Activity: An Exploratory Empirical Investigation, constructs a proxy for the systematic component of the risk structure of corporate yields (or systematic risk structure), and tests how well it predicts real economic activity in the United States. It finds that the systematic risk structure predicts the growth rate of industrial production 3 to 18 months into the future even when other leading indicators are controlled for, outperforming other models. A regime-switching estimation also shows that the systematic risk structure is very successful in identifying and capturing different growth regimes of industrial production.  The second essay, How Much Leverage is Too Much, or Does Corporate Risk Determine the Severity of a Recession? investigates whether financial conditions of the U.S. corporate sector  can explain the probability and severity of recessions. It proposes a measure of corporate vulnerability, the Corporate Vulnerability Index (CVI) constructed as the default probability for the entire corporate sector. It finds that the CVI is a significant predictor of the probability of a recession 4 to 6 quarters ahead, even controlling for other leading indicators, and that an increase in the CVI is also associated with a rise in the probability of a more severe and lengthy recession 3 to 6 quarters ahead.  The third essay, Asian Flu or Wall Street Virus? Tech and Non-Tech Spillovers in the United States and Asia (with Jorge A. Chan-Lau), using TGARCH models, finds that U.S. stock markets have been the major source of price and volatility spillovers to stock markets in the Asia-Pacific region during three different periods: the pre-LTCM crisis period, the “tech bubble” period, and the “stock market correction” period. Hong Kong SAR, Japan, and Singapore were sources of spillovers within the region and affected the United States during the latter period. There is also evidence of structural breaks in the stock price and volatility dynamics induced during the “tech bubble” period.  The fourth essay, Coping with Financial Spillovers from the United States: The Effect of U. S. Corporate Scandals on Canadian Stock Prices, investigates the effect of U.S. corporate scandals on stock prices of Canadian firms interlisted  in the United States. It finds that firms interlisted during the pre-Enron period enjoyed increases in post-listing equilibrium prices, while firms interlisted during the post-Enron period experienced declines in post-listing equilibrium prices, relative to a model-based benchmark. Analyzing the entire universe of Canadian firms, it finds that interlisted firms, regardless of their listing time, were perceived as increasingly risky by Canadian investors after the Enron’s bankruptcy. / Diss. Stockholm : Handelshögskolan, 2003