CROSS-SECTIONAL RETURNS FROM DIVERSE PORTFOLIO OF EQUITY INDICES WITH RISK PREMIA EMBEDDED

• Authors: Sakowski Paweł , Ślepaczuk Robert , Wywiał Mateusz
• Languages of publication: EN

Abstracts

EN

The main purpose of this article is to extend evaluation of classic Fama-French and Carhart model for global equity indices. We intend to check the robustness of models results when used for a wide set of equity indices instead of single stocks for the given country. Such modification enables us to estimate equity risk premium for a single country. However, it requires several amendments to the proposed methodology for single stocks. Our empirical evidence reveals important differences between the conventional models estimated on single stocks, either international or US-only, and models incorporating whole markets. Our novel approach shows that the divergence between indices of the developed countries and those of emerging markets is still persistent. Additionally, research on weekly data for equity indices presents rationale for explanation of equity risk premia differences between variously sorted portfolios.

Keywords

EN

cross-sectional models; asset pricing models; equity risk premium; equity indices; new risk factors; sensitivity analysis; book to market; momentum; market price of risk; emerging and developed equity indices

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2015
• Volume: 16
• Issue: 2
• Pages: 89-101

Dates

published

2015

Contributors

author

Sakowski Paweł

• Faculty of Economic Sciences, Warsaw University

author

Ślepaczuk Robert

• Faculty of Economic Sciences, Warsaw University and Union Investment TFI S.A.

author

Wywiał Mateusz

• Faculty of Economic Sciences, Warsaw University and Quedex Derivatives Exchange

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