Unconditional international asset pricing models: empirical tests
Single and multifactor unconditional international asset pricing models are tested for the real and excess returns on Finnish size and industry portfolios using the traditional alpha intercept tests. The results support the efficiency of the global equity market portfolio, although the explanative power of the model remains low. The results also give evidence for the relevance of the global interest rate and Fama-French notion of value premium risk factors. The “pure” local market risk is also able to explain a large part of the asset returns but it does not drive out the global market riskfactor. This suggests that a segmented asset pricing model could be more appropriate for the pricing of Finnish stocks.
Volume (Year): 13 (2000)
Issue (Month): 2 (Autumn)
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