dc.contributor.author | Pagliardi, Giovanni | en |
dc.contributor.author | Poncet, Patrice | en |
dc.contributor.author | Zenios, Stavros A. | en |
dc.creator | Pagliardi, Giovanni | en |
dc.creator | Poncet, Patrice | en |
dc.creator | Zenios, Stavros A. | en |
dc.date.accessioned | 2021-06-08T07:03:48Z | |
dc.date.available | 2021-06-08T07:03:48Z | |
dc.date.issued | 2019-03 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/64762 | en |
dc.description.abstract | We 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.extent | 74 p. | |
dc.language.iso | eng | en |
dc.publisher | The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA | en |
dc.relation | info:eu-repo/grantAgreement/EC/H2020/655092/DebtRisks | |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Greece | * |
dc.rights | info:eu-repo/semantics/openAccess | en |
dc.rights | Open Access | en |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/gr/ | * |
dc.source.uri | https://ssrn.com/abstract=3351403 | |
dc.subject | Asset pricing | en |
dc.subject | Political uncertainty | en |
dc.subject | Economic policy uncertainty | en |
dc.subject | International stock markets | en |
dc.subject | Emerging markets | en |
dc.subject | Frontier markets | en |
dc.title | A Political Capital Asset Pricing Model | en |
dc.type | info:eu-repo/semantics/workingPaper | |
dc.identifier.doi | 10.2139/ssrn.3351403 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance | |
dc.type.uhtype | Working Paper | en |
dc.source.other | SSRN | en |
dc.contributor.orcid | Zenios, Stavros A. [0000-0001-7576-4898] | |
dc.gnosis.orcid | 0000-0001-7576-4898 | |