TY  - JOUR
AU  - Cavaglia,Stefano
AU  - Hodrick,Robert J.
AU  - Vadim,Moroz
AU  - Zhang,Xiaoyan
TI  - Pricing the Global Industry Portfolios
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9344
PY  - 2002
Y2  - November 2002
UR  - http://www.nber.org/papers/w9344
L1  - http://www.nber.org/papers/w9344.pdf
N1  - Author contact info:
Robert J. Hodrick
Graduate School of Business
Columbia University
3022 Broadway
New York, NY 10027
Tel: 212/854-3413
Fax: 212/316-9219
E-Mail: rh169@columbia.edu

Xiaoyan Zhang
Johnson Graduate School of Management
366 Sage Hall
Cornell University
Ithaca, NY 14853
Tel: 607/255-8729
E-Mail: xz69@cornell.edu
AB  - 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.
ER  -