Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor
The factorial asset pricing models generally performs poorly in emerging markets. This prediction bias implies anomalies. This study analyzes whether it is consequence of ignoring other source of risk. We apply a non-parametric approach (stochastic discount factor) to improve the forecasts of the us...
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2022 |
| País: | España |
| Institución: | Universidad Nacional de Educación a Distancia |
| Repositorio: | e-spacio. Repositorio Institucional de la UNED |
| Idioma: | inglés |
| OAI Identifier: | oai:e-spacio.uned.es:20.500.14468/11918 |
| Acceso en línea: | https://hdl.handle.net/20.500.14468/11918 |
| Access Level: | acceso abierto |
| Palabra clave: | Asset pricing Stochastic discount factor Emerging equity markets Fama–French factors model |
| Sumario: | The factorial asset pricing models generally performs poorly in emerging markets. This prediction bias implies anomalies. This study analyzes whether it is consequence of ignoring other source of risk. We apply a non-parametric approach (stochastic discount factor) to improve the forecasts of the usual factorial models. For a sample of 26 emerging equity markets, we find that the information portfolio built from the stochastic discount factor shows better goodness of fit of emerging market and, only the factor that accounts value stocks versus growth stocks is relevant to emerging equity markets, specifically, it is a sensitivity measure at risk. |
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