Multi-factor asset pricing models in emerging and developed markets

Volume: 46, Issue: 3, Pages: 360 - 380
Published: Dec 2, 2019
Abstract
Purpose The purpose of this paper is to compare the performance of various multifactor asset pricing models across ten emerging and developed markets. Design/methodology/approach The general methodology to test asset pricing models involves regressing test asset returns (left-hand side assets) on pricing factors (right-hand side assets). Then the performance of different models is evaluated based on how well they price multiple test assets...
Paper Details
Title
Multi-factor asset pricing models in emerging and developed markets
Published Date
Dec 2, 2019
Volume
46
Issue
3
Pages
360 - 380
Citation AnalysisPro
  • Scinapse’s Top 10 Citation Journals & Affiliations graph reveals the quality and authenticity of citations received by a paper.
  • Discover whether citations have been inflated due to self-citations, or if citations include institutional bias.