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- W3124990325 abstract "This Paper assesses the ability of international asset pricing models to explain the cross-sectional variation in expected returns. All the models considered seem to capture national market returns fairly well. Global portfolios sorted on earnings-price ratio and market value, however, pose a special challenge. We find that an unconditional inter national CAPM cannot explain the cross-sectional variation in these portfolio returns. Interestingly, a conditional international asset-pricing model that includes foreign exchange risk factors is able to explain a large part of the variation in average returns. Our empirical work suggests that this model has the same explanatory ability as an inter national three-factor model, where zero-cost portfolios based on earnings-price ratios and market values are used in addition to the world market portfolio. Importantly, the loadings associated with the zero-cost portfolios are driven out by the characteristics themselves, indicating a misspecification." @default.
- W3124990325 created "2021-02-01" @default.
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- W3124990325 date "2002-01-01" @default.
- W3124990325 modified "2023-09-27" @default.
- W3124990325 title "An Evaluation of International Asset Pricing Models" @default.
- W3124990325 hasPublicationYear "2002" @default.
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