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Local versus global factor models: time-series versus cross-sectional evidence
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Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Global factor models Local factors International asset pricing