International Factor Models

47 Pages Posted: 11 Feb 2020 Last revised: 16 May 2023

See all articles by Daniel Huber

Daniel Huber

Universität Hamburg

Heiko Jacobs

University of Duisburg-Essen, Campus Essen

Sebastian Müller

Technische Universität München (TUM) - TUM School of Management

Fabian Preissler

Technische Universität München (TUM) - TUM School of Management

Date Written: March 4, 2021

Abstract

We evaluate the relative and absolute performance of competing factor-based asset pricing models in international regions and globally. Our holistic analysis controls for model transaction costs and incorporates both right-hand-side tests (based on maximum squared Sharpe ratios) and left-hand-side tests (individual return predictors, composite mispricing proxies). The overall view of the tests shows that recently proposed models tend to perform better than classical models, but otherwise perform comparably. This finding, the performance of the models in some of the LHS tests as well as further results collectively suggest the need for new powerful asset pricing models for global equity markets.

Keywords: Asset pricing, Factor models, International stock markets

JEL Classification: G12, G15

Suggested Citation

Huber, Daniel and Jacobs, Heiko and Müller, Sebastian and Preissler, Fabian, International Factor Models (March 4, 2021). Journal of Banking and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3533524 or http://dx.doi.org/10.2139/ssrn.3533524

Daniel Huber (Contact Author)

Universität Hamburg ( email )

Von-Melle-Park 5
Hamburg, DE Hamburg 20146
Germany

Heiko Jacobs

University of Duisburg-Essen, Campus Essen

Germany

Sebastian Müller

Technische Universität München (TUM) - TUM School of Management ( email )

Germany

Fabian Preissler

Technische Universität München (TUM) - TUM School of Management ( email )

Heilbronn
Germany

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