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

详细信息    查看全文

• 作者：Sharon Garyn-Tal^a ; ^{sharon.tal.garyn@gmail.com" class="auth_mail" title="E-mail the corresponding author} ; Beni Lauterbach^b ; ^{beni.lauterbach@biu.ac.il" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Local and hybrid four factor models ; Dually-listed shares ; Fama&ndash ; French&ndash ; Carhart model
• 刊名：Emerging Markets Review
• 出版年：2015
• 出版时间：September 2015
• 年：2015
• 卷：24
• 期：Complete
• 页码：1-12
• 全文大小：248 K

文摘

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.