Is the six-factor asset pricing model discounting the global returns?

Rahul Roy
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引用次数: 1

Abstract

ABSTRACT The study proposed a six-factor asset pricing model to explain global returns. The study employed the global version of the six-factor model, besides Carhart four-factor and Fama–French five-factor models, to test the integrated international asset pricing hypothesis. Fama-MacBeth two-step procedure is used to estimate the parameters of both global and local version models. First the study finds that the six-factor model yields better estimates than the competing models in return predictability. Secondly, the study rejects the integrated international asset pricing hypothesis and argues that the local six-factor model yields better estimates than local competing models and outperforms global version models.
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六因素资产定价模型是否贴现了全球收益?
摘要本研究提出了一个解释全球收益的六因素资产定价模型。除了Carhart四因素模型和Fama–French五因素模型外,该研究还采用了全球版的六因素模型来检验综合国际资产定价假设。Fama-MacBeth两步程序用于估计全局和局部版本模型的参数。首先,研究发现,在收益可预测性方面,六因素模型比竞争模型产生了更好的估计。其次,该研究拒绝了综合国际资产定价假设,并认为本地六因素模型比本地竞争模型产生更好的估计,并且优于全球版本的模型。
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CiteScore
2.40
自引率
7.70%
发文量
23
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