Local, regional, or global asset pricing?

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  • Fabian Hollstein

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Original languageEnglish
Pages (from-to)291-320
Number of pages30
JournalJournal of Financial and Quantitative Analysis
Volume57
Issue number1
Early online date11 Jan 2021
Publication statusPublished - 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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Cite this

Local, regional, or global asset pricing? / Hollstein, Fabian.
In: Journal of Financial and Quantitative Analysis, Vol. 57, No. 1, 02.2022, p. 291-320.

Research output: Contribution to journal › Article › Research › 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 ; Vol. 57, No. 1. pp. 291-320.
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