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Pricing the Global Industry Portfolios / Stefano Cavaglia, Robert J. Hodrick, Moroz Vadim, Xiaoyan Zhang.
- Format:
- Book
- Author/Creator:
- Cavaglia, Stefano.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w9344.
- NBER working paper series no. w9344
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2002.
- Summary:
- We investigate the ability of several international asset pricing models to price the returns on 36 FTSE global industry portfolios. The models are the international capital asset pricing model (ICAPM) the ICAPM with exchange risks, and global two-factor and three-factor Fama-French (1996, 1998) models. We apply the methodology of Hansen and Jagannathan (1997). While all of the models can correctly price the basic assets, exchange risks are unimportant and only the global three-factor Fama-French model passes a robustness check which requires the models to also price portfolios sorted by book-to-market ratio.
- Notes:
- Print version record
- November 2002.
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