PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
Czasopismo
2016 | 12 | nr 2 | 23--35
Tytuł artykułu

Cross-Sectional Returns with Volatility Regimes from a Diverse Portfolio of Emerging and Developed Equity Indices

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to 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 a volatility regime switching mechanism (using dummy variables and the Markov approach) and the fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular market (which is a common approach in the literature), we check performance of these models for weekly data of 81 world investable equity indices in the period of 2000-2015. Such an approach is proposed to estimate an equity risk premium for a single country. Empirical evidence reveals important differences between results for classical models estimated on single stocks (either in international or US-only frameworks) and models evaluated for equity indices. Additionally, we observe substantial discrepancies between results for developed countries and emerging markets. Finally, using weekly data for the last 15 years we illustrate the importance of model risk and data overfiffing effects when drawing conclusions upon results of multifactor models. (original abstract)
Czasopismo
Rocznik
Tom
12
Numer
Strony
23--35
Opis fizyczny
Twórcy
  • University of Warsaw, Poland
  • University of Warsaw; Union Investment TFI S.A.
  • University of Warsaw, Poland; Quedex Derivatives Exchange
Bibliografia
  • Chen, L., Novy-Marx, R., Zhang, L. (2011). An Alternative Three-Factor Model. SSRN Electronic Journal.
  • Davis, J.L., Fama, E.F., French, K.R (2000). Characteristics, Covariances, and Average Returns: 1929 to 1997. The Journal of Finance 55(1), 389-406.
  • Duarte, F., Rosa, C. et. al. (2015). The Equity Risk Premium: a Review of Models.
  • Fama, E.F., French, K.R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance XLVII, 2.
  • Fama, E.F., French, K.R. (2012). Size, Value, and Momentum in International Stock Returns. Journal of Financial Economics 105(3), 457-472.
  • Fama, E.F., French, K.R (2015). A Five-factor Asset Pricing model. Journal of Financial Economics 116(1), 1-22.
  • Foye, J., Mramor, D., Pahor, M. (2013). A Respecified Fama French Three-Factor Model for the New European Union Member States. Journal of International Financial Management & Accounting 24(1), 3- 25.
  • Frazzini, A., Pedersen, L.H. (2014). Beffing Against Beta. Journal of Financial Economics 111(312417), 1- 25.
  • Griffin, J.M. (2002). Are the Fama and French Factors Global or Country Specific? Review of Financial Studies 15, 783-803.
  • Hammerschmid, R., Lohre, H. (2015). Regime Shifts and Stock Return Predictability (August 27). Available at SSRN: http:// ssrn.com/abstract=2445086 or http://dx.doi.org/10.2139/ssrn.2445086.
  • Hou, K., Karolyi, G.A., Kho, B.Ch. (2011). What Factors Drive Global Stock Returns? Review of Financial Studies 24, 25272574.
  • Jegadeesh, N., Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance 48(1), 65-91.
  • Lakonishok, J., Shleifer, A., Vishny, R.W. (1994). Contrarian Investment, Extrapolation, and Risk. The Journal of Finance 49(5), 1541-1578.
  • Lieksnis, R. (2010). Multifactor Asset Pricing Analysis of the Baltic Stock Market, Ekonomika 89(4), 85-95.
  • Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 13-37.
  • Liu, W. (2004). Liquidity Premium and a Two-factor Model. EFA 2004 Maastricht Meetings Paper 44, September 2003, 0-52.
  • Lo, A.W., MacKinlay, A.C. (1990). When are Contrarian Profits Due to Stock Market Overreaction? Review of Financial Studies 3(2), 175-205.
  • MacKinlay, A.C. (1995). Multifactor Models do not Explain Deviations from the CAPM. Journal of Financial Economics 38(1), 3-28.
  • Rahim, R.A., Noor, A.H.S.M. (2006). Comparison Between Fama and French Model and Liquidity-Based Three-Factor Models in. Asian Academy of Management Journal and Finance 2(2), 43-60.
  • Sakowski, P., Ślepaczuk, R., Wywiał, M. (2015). Cross-sectional Returns from Diverse Portfolio of Equity Indices with Risk Premia Embedded. Quantitative Methods in Economics.
  • Sharpe, W.F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance 19(3), 425-442.
  • Tan, M. (2013). Regime Switching Behavior of the UK Equity Risk Premium. Ph.D. thesis, University of Birmingham.
  • Wu, X. (2002). A Conditional Multifactor Analysis of Return Momentum. Journal of Banking and Finance 26, February, 1675-1696.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171472804

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.