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ArticleSpecification tests of international asset pricing models

Xiaoyan Zhang2006

Article2006

Specification tests of international asset pricing models

78 citations·0/0 files stored·Journal of International Money and Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1973Risk, Return, and Equilibrium: Empirical Tests 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1997Postwar U.S. Business Cycles: An Empirical Investigation 1996Multifactor Explanations of Asset Pricing Anomalies 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1995Size and Book-to-Market Factors in Earnings and Returns 1996The Conditional CAPM and the Cross-Section of Expected Returns

Cited by

2008Friends or Foes? The Stock Price Impact of Sovereign Wealth Fund Investments and the Price of Keeping Secrets 2015Size, Value, and Momentum in Emerging Market Stock Returns: Integrated or Segmented Pricing?2007Cross‐sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market 2023Machine learning and the cross-section of emerging market stock returns 2012International portfolio diversification: Currency, industry and country effects revisited

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Year2006

Typearticle

Published2006-01-27

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations78

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jimonfin.2005.11.003

openalex_workW3125824037

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2011Global versus Local Asset Pricing: A New Test of Market Integration

2021Local, Regional, or Global Asset Pricing?

2005An examination of alternative CAPM-based models in UK stock returns