Local, Regional, or Global Asset Pricing?
نویسندگان
چکیده
Abstract Analyzing several developed and emerging international markets, I test the ability of global, regional, local models to explain a large set 134 cross-sectional anomalies. My main finding is that both global regional factor create substantially larger average absolute alphas than models. Annual (absolute) anomaly portfolio are on 1.7 1.1 percentage points higher, respectively, with Even for most recent period, there no evidence catch-up There substantial potential diversification strategies.
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2021
ISSN: ['1756-6916', '0022-1090']
DOI: https://doi.org/10.1017/s0022109021000028