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dc.contributor.authorShi, Q.
dc.contributor.authorLi, B.
dc.contributor.authorCheung, Adrian
dc.contributor.authorChung, R.
dc.identifier.citationShi, 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.

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.publisherSage Publications
dc.titleAugmenting the intertemporal CAPM with inflation: Further evidence from alternative models
dc.typeJournal Article
dcterms.source.titleAustralian Journal of Management
curtin.departmentSchool of Economics and Finance
curtin.accessStatusFulltext not available

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