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Evaluating a nonlinear asset pricing model on international data

Författare:
Publiceringsår: 2008
Språk: Engelska
Sidor: 604-621
Publikation/Tidskrift/Serie: International Review of Financial Analysis
Dokumenttyp: Artikel
Förlag: North-Holland

Sammanfattning

The paper analyses the ability of a non-linear asset pricing model suggested by Dittmar Dittmar, R.F., 2002. Non-linear pricing kernels, kurtosis preference, and the cross-section of equity returns. Journal of Finance 57, 369–403 to explain the returns on international value and growth portfolios. For comparison we use competing pricing models such as the ICAPM, the exchange rate risk augmented ICAPM and the international two-factor model proposed by Fama and French Fama, E.F., French, K. R., 1998. Value versus growth: The international evidence. Journal of Finance 53, 1975–1999. All models are evaluated both unconditionally and conditionally. The models are evaluated by applying the Hansen and Jagannathan distance measure, and we also employ several alternative measures to ensure a robust comparison of the models. We find support for the model of Dittmar Dittmar, R.F., 2002. Non-linear pricing kernels, kurtosis preference, and the cross-section of equity returns. Journal of Finance 57, 369–403. Evaluated conditionally, this model successfully passes all the different diagnostic tests performed in the analysis.

Disputation

Nyckelord

  • Business and Economics
  • International markets
  • Non-linear asset pricing
  • Hansen and Jagannathan distance
  • Value effect

Övrigt

Published
Yes
  • ISSN: 10575219

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