Art der Publikation: Beitrag in Zeitschrift

International factor models

Autor(en):

Huber, Daniel; Jacobs, Heiko; Müller, Sebastian; Preissler, Fabian

Titel der Zeitschrift:

Journal of Banking and Finance

Jahrgang (Veröffentlichung):

2023 (2023)

Heftnummer:

150

Digital Object Identifier (DOI):

doi:10.1016/j.jbankfin.2023.106819

Link zum Volltext:

https://www.sciencedirect.com/science/article/abs/pii/S0378426623000444?via%3Dihub

Zitation:

Download BibTeX

Kurzfassung

Abstract

We evaluate the relative and absolute performance of competing factor-based asset pricing models in international regions and globally. Our holistic analysis controls for model transaction costs and incorporates both right-hand-side tests (based on maximum squared Sharpe ratios) and left-hand-side tests (individual return predictors, composite mispricing proxies). The overall view of the tests shows that recently proposed models tend to perform better than classical models, but otherwise perform comparably. This finding, the performance of the models in some of the LHS tests as well as further results collectively suggest the need for new powerful asset pricing models for global equity markets.