Local, regional, or global asset pricing?

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Autoren

  • Fabian Hollstein

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OriginalspracheEnglisch
Seiten (von - bis)291-320
Seitenumfang30
FachzeitschriftJournal of Financial and Quantitative Analysis
Jahrgang57
Ausgabenummer1
Frühes Online-Datum11 Jan. 2021
PublikationsstatusVeröffentlicht - Feb. 2022

Abstract

Analyzing several developed and emerging international markets, I test the ability of global, regional, and local models to explain a large set of 134 cross-sectional anomalies. My main finding is that both global and regional factor models create substantially larger average absolute alphas than local factor models. Annual (absolute) anomaly portfolio alphas are on average 1.7 and 1.1 percentage points higher, respectively, with global and regional than with local factor models. Even for the most recent period, there is no evidence of a catch-up of global and regional factor models. There is substantial potential for international diversification of anomaly strategies.

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Local, regional, or global asset pricing? / Hollstein, Fabian.
in: Journal of Financial and Quantitative Analysis, Jahrgang 57, Nr. 1, 02.2022, S. 291-320.

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Hollstein F. Local, regional, or global asset pricing? Journal of Financial and Quantitative Analysis. 2022 Feb;57(1):291-320. Epub 2021 Jan 11. doi: 10.1017/S0022109021000028
Hollstein, Fabian. / Local, regional, or global asset pricing?. in: Journal of Financial and Quantitative Analysis. 2022 ; Jahrgang 57, Nr. 1. S. 291-320.
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