https://alphaarchitect.com/2022/10/democracy-stock-returns/ This research provides evidence of the positive association between the level of democracy and stock returns. Stock returns are significantly higher in countries with markedly higher levels of democratization. Failing to account for the difference in returns between democracies vs. autocracies by making CAPM risk adjustments, the authors suggest an alternative explanation: the strength of investor protections. Investors in authoritarian countries are subject to an appreciably lower level of legal protection when compared to protections characteristic of mature democracies. It appears to account for the observed lower returns. While this conclusion is reasonable and even insightful, it could be challenged by the lack of sufficient risk analysis using models beyond the CAPM.