| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10966 |
| DP10966 Has the Pricing of Stocks Become More Global? | |
| Alexander F. Wagner; Paul Schrimpf | |
| 发表日期 | 2015-11-29 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R²) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the effect is likely to be permanent. Yet, there is no conclusive evidence for a global factor model catch-up in terms of pricing errors (alpha) or a convergence in country-specific factor premia. These findings suggest that global financial markets have progressed surprisingly little towards fully integrated pricing, different from what should be expected under financial market integration. We discuss alternative explanations for these patterns and assess implications for practice. |
| 主题 | Financial Economics |
| 关键词 | International asset pricing Size Value Momentum Financial integration Factor models |
| URL | https://cepr.org/publications/dp10966 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539795 |
| 推荐引用方式 GB/T 7714 | Alexander F. Wagner,Paul Schrimpf. DP10966 Has the Pricing of Stocks Become More Global?. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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