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

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dc.contributor.authorGonzález Sánchez, Mariano
dc.date.accessioned2024-05-20T11:24:34Z
dc.date.available2024-05-20T11:24:34Z
dc.date.issued2022
dc.description.abstractThe 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.versionversión publicada
dc.identifier.doihttps://doi.org/10.1016/j.frl.2021.102394
dc.identifier.issn1544-6123
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11918
dc.journal.titleFinance Research Letters
dc.journal.volume46
dc.language.isoen
dc.publisherElsevier
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/deed.es
dc.subject.keywordsAsset pricing
dc.subject.keywordsStochastic discount factor
dc.subject.keywordsEmerging equity markets
dc.subject.keywordsFama–French factors model
dc.titleAsset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factores
dc.typejournal articleen
dc.typeartículoes
dspace.entity.typePublication
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
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