Publicação
Local versus global factor models: time-series versus cross-sectional evidence
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Boons, Martijn | |
| dc.contributor.author | Agostini, Giulia Degli | |
| dc.date.accessioned | 2017-12-04T11:33:36Z | |
| dc.date.available | 2017-12-04T11:33:36Z | |
| dc.date.issued | 2017-01-20 | |
| dc.description.abstract | Many studies agree on the fact that during the late 1980s and 1990s financial market integration increased substantially. Under an efficient and integrated financial market, a set of global risk factors should price international stock returns. However, despite the perception that currently financial markets are highly integrated, many researches proved that empirical local factor models outperform global factor models. We investigate the performance of global factors respect with local factors through a time series and a cross sectional analysis. | pt_PT |
| dc.identifier.tid | 201714540 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/26128 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Global factor models | pt_PT |
| dc.subject | Local factors | pt_PT |
| dc.subject | International asset pricing | pt_PT |
| dc.title | Local versus global factor models: time-series versus cross-sectional evidence | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |