The formulation of the four factor model when a considerable proportion of firms is dual-listed

Sharon Garyn-Tal and Beni Lauterbach

Emerging Markets Review, 2015, vol. 24, issue C, 1-12

Abstract: We examine the performance of the Fama–French–Carhart four factor asset pricing model in an economy, Israel, where a relatively large proportion of shares (14.4% in our sample) are dually listed, i.e., trade also on NYSE or NASDAQ. We find that a hybrid model (adding U.S. or global factors to the local 4 factor model) performs only slightly better than the local model, casting doubt on the practical necessity of hybrid models in emerging markets. Further tests suggest that the dually listed shares should not be excluded when constructing the local factors.

Keywords: Local and hybrid four factor models; Dually-listed shares; Fama–French–Carhart model (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:24:y:2015:i:c:p:1-12

DOI: 10.1016/j.ememar.2015.05.006

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