Pricing the Global Industry Portfolios

Stefano Cavaglia, Robert Hodrick (), Moroz Vadim and Xiaoyan Zhang ()

No 9344, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We investigate the ability of several international asset pricing models to price the returns on 36 FTSE global industry portfolios. The models are the international capital asset pricing model (ICAPM) the ICAPM with exchange risks, and global two-factor and three-factor Fama-French (1996, 1998) models. We apply the methodology of Hansen and Jagannathan (1997). While all of the models can correctly price the basic assets, exchange risks are unimportant and only the global three-factor Fama-French model passes a robustness check which requires the models to also price portfolios sorted by book-to-market ratio.

JEL-codes: F3 G12 (search for similar items in EconPapers)
Date: 2002-11
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-fmk
Note: AP IFM
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Citations: View citations in EconPapers (5)

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