Applying Exogenous Variables and Regime Switching to Multi-Factor Models on Equity Indices

• Autorzy: Paweł Sakowski , Robert Ślepaczuk , Mateusz Wywiał
• Języki publikacji: EN

Abstrakty

EN

This article aims to extend the evaluation of classic multi-factor models of Carhart (1997) and to expand analysis performed in Sakowski, Ślepaczuk and Wywiał (2015). We test several modifications of these models to take into account different dynamics of equity excess returns between emerging and developed equity indices. Proposed extensions include volatility regime switching mechanism and three new risk factors. Additionally, we introduce common- and country-specific variables in order to control for global risk. Instead of individual stocks, we use weekly data of 81 world investable equity indices in the period of 2000-2015. We find substantial differences between results for classical models on single stocks and models evaluated for equity indices. Moreover, we observe solid discrepancies between results for developed and emerging markets. Introducing new risk factors and additional variables increase explanatory power of models. (original abstract)

Słowa kluczowe

EN

Capital Asset Pricing Model (CAPM); Pricing models; Multiple-model approach; Stock market indexes

PL

Model wyceny aktywów kapitałowych; Modele wyceny; Podejście wielomodelowe; Indeks giełdowy

• Czasopismo: Ekonomia / Uniwersytet Warszawski
• Rocznik: 2016
• Numer: nr 47
• Strony: 79--121

Twórcy

autor

Paweł Sakowski

• Faculty of Economic Sciences, University of Warsaw

autor

Robert Ślepaczuk

• Faculty of Economic Sciences, University of Warsaw; Union Investment TFI S.A.

autor

Mateusz Wywiał

• University of Warsaw, Poland; Quedex Derivatives Exchange

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Identyfikatory

DOI

10.17451/eko/47/2016/210