Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor

González-Sánchez, Mariano . (2022) Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor. Finance Research Letters, 46 (2022) 102394

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Título Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor
Autor(es) González-Sánchez, Mariano
Materia(s) Economía
Abstract The factorial asset pricing models generally performs poorly in emerging markets. This prediction bias implies anomalies. This study analyzes whether it is consequence of ignoring other source of risk. We apply a non-parametric approach (stochastic discount factor) to improve the forecasts of the usual factorial models. For a sample of 26 emerging equity markets, we find that the information portfolio built from the stochastic discount factor shows better goodness of fit of emerging market and, only the factor that accounts value stocks versus growth stocks is relevant to emerging equity markets, specifically, it is a sensitivity measure at risk.
Palabras clave Asset pricing
Stochastic discount factor
Emerging equity markets
Fama–French factors model
Editor(es) Elsevier
Fecha 2022
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0005
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0005
DOI - identifier https://doi.org/10.1016/j.frl.2021.102394
ISSN - identifier 1544-6123
Nombre de la revista Finance Research Letters
Número de Volumen 46
Publicado en la Revista Finance Research Letters, 46 (2022) 102394
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The registered version of this article, first published in Finance Research Letters, is available online at the publisher's website: Elsevier, https://doi.org/10.1016/j.frl.2021.102394
Notas adicionales La versión registrada de este artículo, publicado por primera vez en Finance Research Letters, está disponible en línea en el sitio web del editor: Elsevier, https://doi.org/10.1016/j.frl.2021.102394

 
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Creado: Fri, 12 Jan 2024, 22:21:02 CET