NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Pricing the Global Industry Portfolios

Stefano Cavaglia, Robert J. Hodrick, Moroz Vadim, Xiaoyan Zhang

NBER Working Paper No. 9344
Issued in November 2002
NBER Program(s):   AP   IFM

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.

download in pdf format
   (269 K)

email paper

This paper is available as PDF (269 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w9344

Users who downloaded this paper also downloaded these:
Bodnar, Dumas, and Marston w10115 Cross-Border Valuation: The International Cost of Equity Capital
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us