The formulation of the four factor model when a considerable proportion of firms is dual-listed

Sharon Garyn-Tal, Beni Lauterbach

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

We examine the performance of the Fama-French-Carhart four factor asset pricing model in an economy, Israel, where a relatively large proportion of shares (14.4% in our sample) are dually listed, i.e., trade also on NYSE or NASDAQ. We find that a hybrid model (adding U.S. or global factors to the local 4 factor model) performs only slightly better than the local model, casting doubt on the practical necessity of hybrid models in emerging markets. Further tests suggest that the dually listed shares should not be excluded when constructing the local factors.

Original languageEnglish
Pages (from-to)1-12
Number of pages12
JournalEmerging Markets Review
Volume24
DOIs
StatePublished - 1 Sep 2015

Bibliographical note

Publisher Copyright:
© 2015 .

Keywords

  • Dually-listed shares
  • Fama-French-Carhart model
  • Local and hybrid four factor models

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