Publicación: Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor
Cargando...
Fecha
2022
Autores
Editor/a
Director/a
Tutor/a
Coordinador/a
Prologuista
Revisor/a
Ilustrador/a
Derechos de acceso
Atribución 4.0 Internacional
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
Título de la revista
ISSN de la revista
Título del volumen
Editor
Elsevier
Resumen
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.
Descripción
Categorías UNESCO
Palabras clave
Asset pricing, Stochastic discount factor, Emerging equity markets, Fama–French factors model
Citación
Centro
Facultad de Ciencias Económicas y Empresariales
Departamento
Economía de la Empresa y Contabilidad