The return performance of cubic market model: An application to emerging markets

This article studies the performance of the high-order moment capital asset pricing model (CAPM) market models in emerging markets. We apply the cubic market model (4-moment CAPM) to 16 emerging market stock indices ranging from January 2010 to September 2015. Performance of the model is evaluated t...

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Autores Principales: Mora, A., Perote, J., Tobar, J.E.
Formato: Artículo (Article)
Lenguaje:Inglés (English)
Publicado: 2020
Materias:
GMM
Acceso en línea:http://hdl.handle.net/1992/46975
id ir-1992-46975
recordtype dspace
spelling ir-1992-469752020-11-04T20:25:39Z The return performance of cubic market model: An application to emerging markets Mora, A. Perote, J. Tobar, J.E. Cubic market model Emerging markets Equity premium GMM This article studies the performance of the high-order moment capital asset pricing model (CAPM) market models in emerging markets. We apply the cubic market model (4-moment CAPM) to 16 emerging market stock indices ranging from January 2010 to September 2015. Performance of the model is evaluated through the Fama and MacBeth¿s two-step regression and through different corrections proposed in the literature, as well as generalized method of moments (GMM) estimation. According to Fama¿MacBeth¿s procedure, CAPM, the quadratic and cubic market models seem to be insignificant for the analyzed sample; however, the GMM estimation shows that quadratic model is valid for Indian, Polish, and Thai country indices, whereas cubic market model is accurate for Indian country index. 2020-10-01T16:50:52Z 2020-10-01T16:50:52Z 2016 article publishedVersion http://hdl.handle.net/1992/46975 10.1080/1540496X.2016.1251902 eng openAccess application/pdf instname:Universidad de los Andes reponame:Repositorio Institucional Séneca
institution Universidad de los Andes
collection DSpace
language Inglés (English)
topic Cubic market model
Emerging markets
Equity premium
GMM
spellingShingle Cubic market model
Emerging markets
Equity premium
GMM
Mora, A.
Perote, J.
Tobar, J.E.
The return performance of cubic market model: An application to emerging markets
description This article studies the performance of the high-order moment capital asset pricing model (CAPM) market models in emerging markets. We apply the cubic market model (4-moment CAPM) to 16 emerging market stock indices ranging from January 2010 to September 2015. Performance of the model is evaluated through the Fama and MacBeth¿s two-step regression and through different corrections proposed in the literature, as well as generalized method of moments (GMM) estimation. According to Fama¿MacBeth¿s procedure, CAPM, the quadratic and cubic market models seem to be insignificant for the analyzed sample; however, the GMM estimation shows that quadratic model is valid for Indian, Polish, and Thai country indices, whereas cubic market model is accurate for Indian country index.
format Artículo (Article)
author Mora, A.
Perote, J.
Tobar, J.E.
author_facet Mora, A.
Perote, J.
Tobar, J.E.
author_sort Mora, A.
title The return performance of cubic market model: An application to emerging markets
title_short The return performance of cubic market model: An application to emerging markets
title_full The return performance of cubic market model: An application to emerging markets
title_fullStr The return performance of cubic market model: An application to emerging markets
title_full_unstemmed The return performance of cubic market model: An application to emerging markets
title_sort return performance of cubic market model: an application to emerging markets
publishDate 2020
url http://hdl.handle.net/1992/46975
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score 11,828437