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SUMMARY:Has the Pricing of Stocks Become More Global?
DTSTART:20160531T120000
DTEND:20160531T130000
DTSTAMP:20260916T011730Z
UID:40f727a1f9fe0d1a0a88c7cc049b63b1f53bc3cb5c86e7d18311073e
CATEGORIES:Conferences - Seminars
DESCRIPTION:Andreas SCHRIMPF (Bank of International Settlements)\nWe show 
 that in recent years global factor models have been catching up significan
 tly with their local counterparts in terms of explanatory power (R2) for i
 nternational stock returns. This catch-up is driven by a rise in global fa
 ctor betas\, not a rise in factor volatilities\, suggesting that the effec
 t is likely to be permanent. Yet\, there is no conclusive evidence for a g
 lobal factor model catch-up in terms of pricing errors (alpha) or a conver
 gence in country-specific factor premia. These findings suggest that globa
 l financial markets have progressed surprisingly little towards fully inte
 grated pricing\, different from what should be expected under financial ma
 rket integration. We discuss alternative explanations for these patterns a
 nd assess implications for practice.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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