This study investigates whether international equity markets systematically price global macroeconomic risks. The empirical analysis is conducted using monthly excess returns for ten G20 countries over the period 2000-2024. A Dynamic Factor Model (DFM) is employed to extract latent global factors from a set of macroeconomic variables capturing global inflation, real activity, monetary policy, term structure, exchange rates, volatility, and oil prices. The model selection criteria of the dynamic factor framework, which support a 3 factor specification that is parsimonious. The Fama MacBeth regressions demonstrate the low explanatory power of the 3-factor model. In contrast, a 4 factor specification results in economically large and statistically significant factor loadings, an obvious rise in explanatory power, and a significant improvement in model performance. The results indicate that a four-factor specification provides the best balance between explanatory power and model stability, significantly improving the ability to explain cross-sectional variation in excess returns , with all factors statistically significant. The Capital Asset Pricing Model, while offering a parsimonious and stable benchmark with consistently significant market betas, exhibits limited explanatory power due to its single factor structure. Overall, the findings suggest that macro driven latent factors extracted through the DFM provide a more comprehensive and empirically robust framework for international asset pricing than the CAPM, highlighting the importance of incorporating multiple sources of systematic risk in explaining cross-country equity returns.

翻译：本研究探究国际股票市场是否系统性地对全球宏观经济风险进行定价。实证分析基于2000-2024年间十个G20国家的月度超额收益数据。采用动态因子模型（DFM）从涵盖全球通胀、实际经济活动、货币政策、期限结构、汇率、波动率及油价等多组宏观经济变量中提取潜在全球因子。动态因子框架下的模型选择标准支持一个简约的三因子设定。Fama-MacBeth回归显示三因子模型解释力较低。相比之下，四因子设定产生经济意义显著且统计上显著的因子载荷，解释力明显提升，模型性能显著改善。结果表明，四因子设定在解释力与模型稳定性之间实现了最佳平衡，显著提升了截面超额收益变异的解释能力，且所有因子均具有统计显著性。资本资产定价模型（CAPM）虽提供简约且稳定的基准，市场贝塔系数持续显著，但因单一因子结构导致解释力有限。总体而言，研究发现通过动态因子模型提取的宏观驱动潜在因子为国际资产定价提供了比CAPM更全面且实证稳健的框架，凸显了在解释跨国股票收益时纳入多源系统性风险的重要性。