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dc.contributor.authorPagliardi, Giovannien
dc.contributor.authorPoncet, Patriceen
dc.contributor.authorZenios, Stavros A.en
dc.creatorPagliardi, Giovannien
dc.creatorPoncet, Patriceen
dc.creatorZenios, Stavros A.en
dc.description.abstractWe construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, Fama-French five-factor, Carhart, and ICAPM Redux. We propose an international capital asset pricing model incorporating the political factor, and test estimations in the global, developed, and emerging markets. The model explains up to 77% of cross-sectional returns, has good predictive power, performs better than the benchmark models in pricing equity indices and explains up to an incremental 25% of cross-sectional returns, and is robust out of sample.en
dc.format.extent74 p.
dc.publisherThe Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PAen
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Greece*
dc.rightsOpen Accessen
dc.subjectAsset pricingen
dc.subjectPolitical uncertaintyen
dc.subjectEconomic policy uncertaintyen
dc.subjectInternational stock marketsen
dc.subjectEmerging marketsen
dc.subjectFrontier marketsen
dc.titleA Political Capital Asset Pricing Modelen
dc.identifier.doi10.2139/ssrn.3351403Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and ManagementΤμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance
dc.type.uhtypeWorking Paperen
dc.contributor.orcidZenios, Stavros A. [0000-0001-7576-4898]

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Attribution-NonCommercial-NoDerivs 3.0 Greece
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Greece