{"title":"Is the six-factor asset pricing model discounting the global returns?","authors":"Rahul Roy","doi":"10.1080/17520843.2021.1936110","DOIUrl":null,"url":null,"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.","PeriodicalId":42943,"journal":{"name":"Macroeconomics and Finance in Emerging Market Economies","volume":"16 1","pages":"95 - 136"},"PeriodicalIF":1.1000,"publicationDate":"2021-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/17520843.2021.1936110","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Macroeconomics and Finance in Emerging Market Economies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/17520843.2021.1936110","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
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.