Publicación: Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor
dc.contributor.author | González Sánchez, Mariano | |
dc.date.accessioned | 2024-05-20T11:24:34Z | |
dc.date.available | 2024-05-20T11:24:34Z | |
dc.date.issued | 2022 | |
dc.description.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. | en |
dc.description.version | versión publicada | |
dc.identifier.doi | https://doi.org/10.1016/j.frl.2021.102394 | |
dc.identifier.issn | 1544-6123 | |
dc.identifier.uri | https://hdl.handle.net/20.500.14468/11918 | |
dc.journal.title | Finance Research Letters | |
dc.journal.volume | 46 | |
dc.language.iso | en | |
dc.publisher | Elsevier | |
dc.relation.center | Facultad de Ciencias Económicas y Empresariales | |
dc.relation.department | Economía de la Empresa y Contabilidad | |
dc.rights | Atribución 4.0 Internacional | |
dc.rights | info:eu-repo/semantics/openAccess | |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0 | |
dc.subject.keywords | Asset pricing | |
dc.subject.keywords | Stochastic discount factor | |
dc.subject.keywords | Emerging equity markets | |
dc.subject.keywords | Fama–French factors model | |
dc.title | Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor | es |
dc.type | artículo | es |
dc.type | journal article | en |
dspace.entity.type | Publication | |
relation.isAuthorOfPublication | 1801f9f2-5927-4817-a82f-3baa664d18e1 | |
relation.isAuthorOfPublication.latestForDiscovery | 1801f9f2-5927-4817-a82f-3baa664d18e1 |
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