Is the six-factor asset pricing model discounting the global returns?

Rahul Roy

Macroeconomics and Finance in Emerging Market Economies, 2023, vol. 16, issue 1, 95-136

Abstract: The study proposed a six-factor asset pricing model to explain global returns. The study employed the global version of the six-factor model, besides Carhart four-factor and Fama–French five-factor models, to test the integrated international asset pricing hypothesis. Fama-MacBeth two-step procedure is used to estimate the parameters of both global and local version models. First the study finds that the six-factor model yields better estimates than the competing models in return predictability. Secondly, the study rejects the integrated international asset pricing hypothesis and argues that the local six-factor model yields better estimates than local competing models and outperforms global version models.

Date: 2023
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DOI: 10.1080/17520843.2021.1936110

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