Pricing the Global Industry Portfolios

29 Pages Posted: 23 Dec 2002 Last revised: 30 Oct 2010

See all articles by Stefano Cavaglia

Stefano Cavaglia

Brinson Partners; Maastricht University - Department of Finance; PanAgora Asset Management, Inc.

Robert J. Hodrick

Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Moroz Vadim

Brinson Partners

Xiaoyan Zhang

Tsinghua University - PBC School of Finance

Date Written: November 2002

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.

Suggested Citation

Cavaglia, Stefano M. F. G. and Hodrick, Robert J. and Vadim, Moroz and Zhang, Xiaoyan, Pricing the Global Industry Portfolios (November 2002). NBER Working Paper No. w9344. Available at SSRN: https://ssrn.com/abstract=351436

Stefano M. F. G. Cavaglia

Brinson Partners

209 LaSalle Street
Chicago, IL 60604
United States

Maastricht University - Department of Finance ( email )

Maastricht, 6200 MD
Netherlands
31 43 888-838 (Phone)
31 43 270-999 (Fax)

PanAgora Asset Management, Inc.

260 Franklin Street
22nd Floor
Boston, MA 02110
United States
617-439-6385 (Phone)

Robert J. Hodrick (Contact Author)

Columbia Business School - Finance and Economics ( email )

3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)

365 Fifth Avenue, 5th Floor
New York, NY 10016-4309
United States

Moroz Vadim

Brinson Partners

209 LaSalle Street
Chicago, IL 60604
United States

Xiaoyan Zhang

Tsinghua University - PBC School of Finance ( email )

No. 43, Chengdu Road
Haidian District
Beijing 100083
China

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
57
Abstract Views
1,757
rank
379,450
PlumX Metrics