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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

Övriga

Published
Yes
  • ISSN: 10575219

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