Multifactor Asset Pricing Analysis Of International Value Investment Strategies
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Multifactor Asset Pricing Analysis Of International Value Investment Strategies
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Author : John A. Doukas
language : en
Publisher:
Release Date : 1998
Multifactor Asset Pricing Analysis Of International Value Investment Strategies written by John A. Doukas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Using a large international equity market database that has not been previously used for such a purpose, this paper documents that value (i.e., high book-to-market ) stocks outperform growth (i.e., low book-to-market ) stocks, on average, in most countries during the January 1975 - December 1995 period, both absolutely and after adjusting for risk. The international evidence confirms the findings of previous work reported for the U.S.. For 1975-1995, the annual difference between the average returns on portfolios of high and low book-to-market stocks is 12.94% in North America, 10.42% in Europe, 17.26% in Pacific-Rim per year, and value stocks outperform growth stocks in 17 out of 18 national capital markets. Our analysis also shows that a three-factor model explains most of the cross-sectional variation in average returns on industry portfolios across countries and that the superior performance of the value investing strategy, documented in this study, is a manifestation of size and book-to-market effects. These results are consistent with those reported by Fama and French (1994, 1996) that show that the value-growth pattern in stock returns is largely explained by a three-factor asset pricing model. Our results suggest that the Fama and French (1996) three-factor asset pricing model is not limited to the U.S. stock market.
Country Asset Allocation
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Author : Adam Zaremba
language : en
Publisher: Springer
Release Date : 2016-10-26
Country Asset Allocation written by Adam Zaremba and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-26 with Business & Economics categories.
This book demonstrates how quantitative country-level investment strategies can be successfully employed to manage money in international markets. It offers a range of state-of-the-art quantitative strategies, describing their theoretical bases, implementation details, and performance in over 70 countries between 1995 and 2015. International diversification has long been a key to stable investing. However, the increased integration and openness of global financial markets has led to rising correlations between stock market returns in particular countries, driving down the benefits of diversification and increasing the importance of country selection strategies as part of an investment process. Zaremba and Shemer explain the efficiency of quantitative investing, which captures huge amounts of data of limited scope very quickly. In the traditional approach, this data compilation is an immense undertaking, limited in scope and vulnerable to behavioral errors, but this can be overcome with the help of a new paradigm of quantitative investment at the country level. Quantitative country asset allocation can be efficiently accomplished by using wealth insights that have been generated in the academic literature, discovering many anomalies and regular patterns in asset prices. Armed with this information, investors and managers can process large amounts of data more efficiently when deciding to invest in ETFs, index funds, or futures markets.
Asset Pricing And Portfolio Performance
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Author : Robert A. Korajczyk
language : en
Publisher:
Release Date : 1999
Asset Pricing And Portfolio Performance written by Robert A. Korajczyk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
Multifactor Assets Pricing Model
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Author : Khushboo Sagar
language : en
Publisher:
Release Date : 2020
Multifactor Assets Pricing Model written by Khushboo Sagar and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Generous consideration has been pursued to the empirical testing of multi factor assets pricing models. However, literature provides mixed kind of evidences in the support of multi factor assets pricing model. This study reviews 20 research articles based on multi factor assets pricing model and examines 25 research papers based on the empirically testing of multi factor assets pricing model published during 2001 and 2018 to study the multi factor assets pricing model in the Indian context as well as foreign context. CAPM is a popular normative model used by researchers to explain the relationship between risk and expected return of a risky asset which was developed by Sharpe (1964) and Lintner (1965). This model takes only one risk factor which is the excess market portfolio return (Market premium). Because of poor performance of CAPM in explaining realized returns, the Fama and French three factor asset pricing model (1993) was developed. Fama and French (1993) documented the size effect and the value effect that were not included in the CAPM, generally known as CAPM anomalies. Mark M. Carhart (1997) developed the Carhart four factor model. It is an extension of the FF three factor model with one another factor i.e. momentum factor effect for asset pricing of stocks. In view of the limitations of the earlier three-factor model, Fama and French five-factor asset pricing model (2014) was developed. Fama and French (2014) came with profitability pattern and investment pattern in average stock return along with the market premium, size premium and value premium. This paper may be an expedient source of information to the academics, financial analyst and researchers to understand the asset pricing model.
Multifactor Asset Pricing Models And Industry Portfolio Investment Strategies
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Author : Jonathan Shank
language : en
Publisher:
Release Date : 2013
Multifactor Asset Pricing Models And Industry Portfolio Investment Strategies written by Jonathan Shank and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper examines the effectiveness of six risk factors when applied to a selection of twenty industry-specific portfolios in explaining those portfolios' returns. The explanatory power of each risk factor, as well as its statistical significance, is judged with respect to the explanatory power provided by the Fama-French Three Factor Model. The three additional factors are the Momentum, and Short and Long-Term price reversal factors. Results indicate that, of the three additional factors, Momentum has the most explanatory power on average. Nevertheless, several exceptions were identified in which the inclusion of the Momentum factor destroys explanatory power, or in which the Short or Long-Term reversal factor yielded significant explanatory power. Results demonstrate the differences of these factors' behavior among the industries tested.
Strategic Asset Allocation And International Capm
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Author : Philipp Kowollik
language : en
Publisher: GRIN Verlag
Release Date : 2005-02-25
Strategic Asset Allocation And International Capm written by Philipp Kowollik and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-02-25 with Business & Economics categories.
Seminar paper from the year 2004 in the subject Business economics - Investment and Finance, grade: 1,3, European Business School - International University Schloß Reichartshausen Oestrich-Winkel, language: English, abstract: The decision as to which Assets should be included in a portfolio is first addressed in a Strategic Asset Allocation policy. The determination of the Strategic Asset Allocation is one of the most important factors that influences a portfolio’s performance. The process of defining a policy within the Strategic Asset Allocation should be done by both the portfolio manager and the potential investor. Together with the International Capital Asset Pricing Model the Strategic Asset Allocation tries to find an optimal portfolio which maximizes return and, at the same time, tries to minimize the possible risk. Due to currency and inflation risk, hedging should be considered as crucial point during the Strategic Asset Allocation. 1 2 Strategic Asset Allocation under consideration of the International Capital Asset Pricing Model decides to which asset classes a portfolio should be divided. Factors which determine the decision are expected returns, variances and covariances as well as the degree of risk aversion. The analysis of mean-variance which was mostly developed by Harry Markowitz gave portfolio advice until the early eighties concerning the optimal asset allocation. The aims of this approach were to minimize risk while receiving the highest possible return. Over the years the method was critized several times because of a lack of decisive factors. Markowitz only assumed a one period model and permanent income, currency and inflation risk were also ignored.3 Strategic Asset Allocation is much more than investing short- term. Investors care about inflation and currency risk. Hedging is particularly needed.
Investment Valuation And Asset Pricing
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Author : James W. Kolari
language : en
Publisher: Springer Nature
Release Date : 2023-01-01
Investment Valuation And Asset Pricing written by James W. Kolari and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-01-01 with Business & Economics categories.
This textbook is intended to fill a gap in undergraduate finance curriculums by providing an asset pricing text that is accessible for undergraduate finance students. It offers an overview of original works on foundational asset pricing studies that follows their historical publication chronologically throughout the text. Each chapter stays close to the original works of these major authors, including quotations, examples, graphical exhibits, and empirical results. Additionally, it includes statistical concepts and methods as applied to finance. These statistical materials are crucial to learning asset pricing, which often applies statistical tests to evaluate different asset pricing models. It offers practical examples, questions, and problems to help students check their learning and better understand the fundamentals of asset pricing., alongside including PowerPoint slides and an instructor’s manual for professors.
Global Asset Allocation
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Author : Heinz Zimmermann
language : en
Publisher: John Wiley & Sons
Release Date : 2003-02-03
Global Asset Allocation written by Heinz Zimmermann and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-02-03 with Business & Economics categories.
Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.
A New Model Of Capital Asset Prices
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Author : James W. Kolari
language : en
Publisher: Springer Nature
Release Date : 2021-03-01
A New Model Of Capital Asset Prices written by James W. Kolari and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-01 with Business & Economics categories.
This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
Asset Pricing In Emerging Markets
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Author : Shabir Ahmad Hakim
language : en
Publisher:
Release Date : 2015
Asset Pricing In Emerging Markets written by Shabir Ahmad Hakim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with Capital assets pricing model categories.
Emerging markets are associated with developing economies and are structurally different from the developed markets. They offer higher expected returns as they are experiencing higher growth rates and potential for diversifying the risk in global portfolios as they are partially integrated with the developed markets. However, the structural differences coupled with partial integration limit the capability of the asset pricing models, originally designed for the developed markets, to capture risk and return dynamics of the assets in these markets and necessitate customization of the models to the local settings. Many asset pricing studies undertaken in this direction supplement the factors in developed market models with the factors that are unique to the emerging markets. However, the models have limited scope in explaining asset returns due to limited explanatory power of the factors included. This study proposes a multifactor asset pricing model with nine explanatory factors, which include returns on the local and global market portfolios, exchange rate, and returns on six mimicking portfolios that proxy for the common sources of risks associated with size, book to market value of equity, market liquidity, leverage, quality of earnings, and asset liquidity of firms. The last three factors in the model have not been tested in the emerging markets; among these, asset liquidity is introduced as an explanatory factor in asset pricing in this study. The model is tested in seven emerging markets, namely China, India, Indonesia, Malaysia, Thailand, South Africa, and Brazil using ten-year monthly data on non-financial firms over period of January 2004 to December 2013. Generalized method of moments (GMM) is applied for data analysis and model testing. The findings of the study reveal that the local market portfolio is the most dominant factor in all the markets. It subsumes the effects of the global market portfolio and the exchange rate in most of the markets. In addition, consistent cross-country behaviour of size related factor is observed in explaining returns on small and medium portfolios, and of book to market value of equity related factor in explaining returns on high book to market value portfolios. Other factors in the model exhibit different behaviours in different markets indicating presence of idiosyncrasies in the common sources of risks that drive returns in these markets. The newly introduced asset liquidity factor has strong impact on stock returns in four markets: India, Indonesia, Malaysia and South Africa. Furthermore, the new to emerging markets factors leverage and quality of earnings have noticeable influence on stock returns in two markets each; leverage in India and Malaysia, and quality of earnings in China and Brazil. The observed behaviour of the model in the markets studied mirrors the behaviour expected of asset pricing models in emerging markets, which are partially integrated with one another and are in different stages of economic lifecycle.
