- Tytuł:
- CROSS-SECTIONAL RETURNS FROM DIVERSE PORTFOLIO OF EQUITY INDICES WITH RISK PREMIA EMBEDDED
- Autorzy:
-
Sakowski, Paweł
Ślepaczuk, Robert
Wywiał, Mateusz - Powiązania:
- https://bibliotekanauki.pl/articles/453405.pdf
- Data publikacji:
- 2015
- Wydawca:
- Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
- Tematy:
-
cross-sectional models
asset pricing models
equity risk premium
equity indices
new risk factors
sensitivity analysis
book to market
momentum
market price of risk
emerging and developed equity indices - Opis:
- The main purpose of this article is to extend evaluation of classic Fama-French and Carhart model for global equity indices. We intend to check the robustness of models results when used for a wide set of equity indices instead of single stocks for the given country. Such modification enables us to estimate equity risk premium for a single country. However, it requires several amendments to the proposed methodology for single stocks. Our empirical evidence reveals important differences between the conventional models estimated on single stocks, either international or US-only, and models incorporating whole markets. Our novel approach shows that the divergence between indices of the developed countries and those of emerging markets is still persistent. Additionally, research on weekly data for equity indices presents rationale for explanation of equity risk premia differences between variously sorted portfolios.
- Źródło:
-
Metody Ilościowe w Badaniach Ekonomicznych; 2015, 16, 2; 89-101
2082-792X - Pojawia się w:
- Metody Ilościowe w Badaniach Ekonomicznych
- Dostawca treści:
- Biblioteka Nauki
Artykuł