Publicação
Local versus global factor models: time-series versus cross-sectional evidence
| Resumo: | Many studies agree on the fact that during the late 1980s and 1990s financial market integration increased substantially. Under an efficient and integrated financial market, a set of global risk factors should price international stock returns. However, despite the perception that currently financial markets are highly integrated, many researches proved that empirical local factor models outperform global factor models. We investigate the performance of global factors respect with local factors through a time series and a cross sectional analysis. |
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| Autores principais: | Agostini, Giulia Degli |
| Assunto: | Global factor models Local factors International asset pricing |
| Ano: | 2017 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | Many studies agree on the fact that during the late 1980s and 1990s financial market integration increased substantially. Under an efficient and integrated financial market, a set of global risk factors should price international stock returns. However, despite the perception that currently financial markets are highly integrated, many researches proved that empirical local factor models outperform global factor models. We investigate the performance of global factors respect with local factors through a time series and a cross sectional analysis. |
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