S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
Department of Economics, Lund University Working Papers, Department of Economics, Lund University

No 2006:5:
Evaluating a nonlinear asset pricing model on international data

Hossein Asgharian () and Sonnie Karlsson

Abstract: The paper analyses the ability of a nonlinear asset pricing model suggested by Dittmar (2002) to explain the returns on international value and growth portfolios. For comparison we use some competing pricing models; such as the ICAPM, the exchange rate risk augmented ICAPM and the international two-factor model proposed by Fama and French (1998). All models are evaluated both unconditionally and conditionally. The models are evaluated by applying the Hansen and Jagannathan distance measure. We also employ several alternative measures to ensure a robust comparison of the models. We find support for the model of Dittmar (2002). Evaluated conditionally, this model successfully passes all the different diagnostic tests performed in the analysis.

Keywords: nonlinear asset pricing; international markets; Hansen and Jagannathan distance; value effect; (follow links to similar papers)

JEL-Codes: G12; G15; (follow links to similar papers)

36 pages, February 27, 2006

Download Statistics


This paper is published as:
Asgharian, Hossein and Sonnie Karlsson, (2008), 'Evaluating a nonlinear asset pricing model on international data', International Review of Financial Analysis, Vol. 17, No. 3, pages 604-621



Questions (including download problems) about the papers in this series should be directed to David Edgerton ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:lunewp:2006_005 This page was generated on 2014-12-14 19:24:54