TY - JOUR
T1 - The formulation of the four factor model when a considerable proportion of firms is dual-listed
AU - Garyn-Tal, Sharon
AU - Lauterbach, Beni
N1 - Publisher Copyright:
© 2015 .
PY - 2015/9/1
Y1 - 2015/9/1
N2 - 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.
AB - 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.
KW - Dually-listed shares
KW - Fama-French-Carhart model
KW - Local and hybrid four factor models
UR - http://www.scopus.com/inward/record.url?scp=84930199007&partnerID=8YFLogxK
U2 - 10.1016/j.ememar.2015.05.006
DO - 10.1016/j.ememar.2015.05.006
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AN - SCOPUS:84930199007
SN - 1566-0141
VL - 24
SP - 1
EP - 12
JO - Emerging Markets Review
JF - Emerging Markets Review
ER -