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    Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models

    Access Status
    Fulltext not available
    Authors
    Shi, Q.
    Li, B.
    Cheung, Adrian
    Chung, R.
    Date
    2017
    Type
    Journal Article
    
    Metadata
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    Citation
    Shi, Q. and Li, B. and Cheung, A. and Chung, R. 2017. Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models. Australian Journal of Management. 42 (4): pp. 653-672.
    Source Title
    Australian Journal of Management
    DOI
    10.1177/0312896216686153
    ISSN
    0312-8962
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/62766
    Collection
    • Curtin Research Publications
    Abstract

    Studies consistently find that inflation is an important augmented factor for intertemporal capital asset pricing models (ICAPMs) when pricing the Fama–French 25 size and book-to-market portfolios. We extend this line of research by investigating two alternative ICAPM models (from Michel; Hahn and Lee) and the three-factor model from Hou et al. We find significant evidence that both ICAPMs and Hou et al.’s three-factor model perform better when augmented with inflation than the original models. The augmented models achieve a good model fit with the fewest factors, thus avoiding or alleviating the over-fitting problem.

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