| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9344 |
| 来源ID | Working Paper 9344 |
| Pricing the Global Industry Portfolios | |
| Stefano Cavaglia; Robert J. Hodrick; Moroz Vadim; Xiaoyan Zhang | |
| 发表日期 | 2002-11-18 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w9344 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566960 |
| 推荐引用方式 GB/T 7714 | Stefano Cavaglia,Robert J. Hodrick,Moroz Vadim,et al. Pricing the Global Industry Portfolios. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9344.pdf（268KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
