IDEAS home Printed from https://ideas.repec.org/a/ove/journl/aid21322.html
   My bibliography  Save this article

Factors relevance in asset pricing: new evidences in emerging markets from random matrix theory

Author

Listed:
  • Laura Molero-González
  • Juan E. Trinidad-Segovia
  • Miguel A. Sánchez-Granero
  • Andrés García-Medina

Abstract

There is an ongoing debate as to whether multi-factor models provide better results in explaining the cross-sectional expected return of financial assets than the Sharpe model. Despite the evidence provided about the superiority of market Beta in mayor developed markets, the debate does not seem to be closed, even less so for emerging markets. In this paper, we provide new evidence on the number of significant factors in emerging markets using Random Matrix Theory statistical techniques. We find that, with a confidence level of 99%, no significant factors are found in emerging markets, compared to developed ones, where market beta is always the unique factor. Our results confirm that emerging markets have different characteristics in relation to developed markets.

Suggested Citation

  • Laura Molero-González & Juan E. Trinidad-Segovia & Miguel A. Sánchez-Granero & Andrés García-Medina, 2025. "Factors relevance in asset pricing: new evidences in emerging markets from random matrix theory," Economics and Business Letters, Oviedo University Press, vol. 14(2), pages 75-87.
    • Handle: RePEc:ove:journl:aid:21322
    as

    Download full text from publisher

    File URL: https://reunido.uniovi.es/index.php/EBL/article/view/21322
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ove:journl:aid:21322. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Francisco J. Delgado (email available below). General contact details of provider: https://edirc.repec.org/data/deovies.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.