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论坛 金融投资论坛 六区 金融学(理论版) 金融工程(数量金融)与金融衍生品
830 1
2023-09-10
The purpose of this study is to gain a better understanding of the sources of global pricing, or rather “nondomestic” pricing, that are documented in Diermeier andSolnik [2000]. We focus here on industry factors. We firstextend the risk model developed by Heston and Rouwenhorst [1994] to account for an investment style that isbecoming increasingly popular: regional sector rotations. We recognize that finding the best risk model is aworthy endeavor, but our objective is narrower. We aimto build a model that is well-grounded in financial theory, that is empirically supported, and that is consistentwith a current investment style.
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2023-10-25 17:10:06
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