Journal of Financial & Quantitative Analysis. Volume 53, Issue 2 April 2018

一个新的使用部分分割来刻画全球股票收益率的方法

作者：G. Andrew Karolyi (Cornell University Johnson Graduate School of Management)

Ying Wu (Stevens Institute of Technology School of Business)

摘要：我们提出了一个新的用来分析全球股票收益率的多因子模型，其包含规模、价值和动量因子，该模型是基于资本市场部分分割的框架搭建的。为了解释股票和股票市场的不完全可获得性带来的外部性问题，我们的模型不仅捕获了全球股票收益率较强的共同变动趋势，并且相对于完全分割和完全一体化模型而言，该模型预测误差更小，拒绝概率更低。我们使用来自46个发达和新兴市场国家超过3700只股票超过两个世纪的数据，使用多种待检验资产，对该部分分割的方法进行了评价。

A New Partial-Segmentation Approach to Modeling International Stock Returns

G. Andrew Karolyi (Cornell University Johnson Graduate School of Management)

Ying Wu (Stevens Institute of Technology School of Business)

ABSTRACT

We propose a new multi-factor model for international stock returns that includes size, value, and momentum factor portfolios and that builds them in a partial-segmentation capital market framework. Accounting for externalities driven by the incomplete accessibility to stocks and stock markets, our model not only captures strong common variation in international stock returns but also achieves low pricing errors and rejection rates relative to pure segmentation and pure integration models. This partial-segmentation approach is evaluated using monthly returns for over 37,000 stocks from 46 developed and emerging market countries over 2 decades and for a wide variety of test assets.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/new-partialsegmentation-approach-to-modeling-international-stock-returns/E027ED71D8CD2095EFE46C0C9DD15B3B

翻译：汪国颂