Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models
dc.contributor.author | Shi, Q. | |
dc.contributor.author | Li, B. | |
dc.contributor.author | Cheung, Adrian | |
dc.contributor.author | Chung, R. | |
dc.date.accessioned | 2018-02-01T05:25:32Z | |
dc.date.available | 2018-02-01T05:25:32Z | |
dc.date.created | 2018-02-01T04:49:06Z | |
dc.date.issued | 2017 | |
dc.identifier.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. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/62766 | |
dc.identifier.doi | 10.1177/0312896216686153 | |
dc.description.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. | |
dc.publisher | Sage Publications | |
dc.title | Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models | |
dc.type | Journal Article | |
dcterms.source.volume | 42 | |
dcterms.source.number | 4 | |
dcterms.source.startPage | 653 | |
dcterms.source.endPage | 672 | |
dcterms.source.issn | 0312-8962 | |
dcterms.source.title | Australian Journal of Management | |
curtin.department | School of Economics and Finance | |
curtin.accessStatus | Fulltext not available |
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