Which Factors in BRICS?

Tässä Pro gradu tutkielmassa käytetään erilaisia faktoreita ja anomaaleja, joilla tutkitaan faktorimalleja ja riskipreemioita. Tutkimuksen tarkoituksena on selventää, että onko BRICS maissa dominoivaa faktorimallia. Tutkimuksessa käytetään lineaarista regressio mallia, jolla voidaan todentaa, pystyy...

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Päätekijä: Papp, Béla
Muut tekijät: Kauppakorkeakoulu, School of Business and Economics, Taloustieteet, Business and Economics, Jyväskylän yliopisto, University of Jyväskylä
Aineistotyyppi: Pro gradu
Kieli:eng
Julkaistu: 2022
Aiheet:
Linkit: https://jyx.jyu.fi/handle/123456789/80794
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author Papp, Béla
author2 Kauppakorkeakoulu School of Business and Economics Taloustieteet Business and Economics Jyväskylän yliopisto University of Jyväskylä
author_facet Papp, Béla Kauppakorkeakoulu School of Business and Economics Taloustieteet Business and Economics Jyväskylän yliopisto University of Jyväskylä Papp, Béla Kauppakorkeakoulu School of Business and Economics Taloustieteet Business and Economics Jyväskylän yliopisto University of Jyväskylä
author_sort Papp, Béla
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description Tässä Pro gradu tutkielmassa käytetään erilaisia faktoreita ja anomaaleja, joilla tutkitaan faktorimalleja ja riskipreemioita. Tutkimuksen tarkoituksena on selventää, että onko BRICS maissa dominoivaa faktorimallia. Tutkimuksessa käytetään lineaarista regressio mallia, jolla voidaan todentaa, pystyykö tietty faktorimalli dominoimaan toisen fak-torimallin faktoreita ja kuinka tulokset poikkeavat Yhdysvalloista. Tulosten mukaan BRICS maissa ei ole yhtä dominoivaa faktorimallia, vaan faktorimallien dominointi on maakohtainen. Tämän Pro gradun tuloksista selviää, että tiettyjen faktoreiden hinnoittelutiedot kohdistuen preemioihin ja väärinhinnoitteluun eroavat merkittävästi BRICS maiden ja Yhdysvaltojen välillä. Using several factors and anomaly variables, I examine the risk premiums and factor models for dominance in the BRICS countries from 2004 to 2020. In this study, I use factor spanning tests in the form of a linear regression to identify if there is a dominant factor model for the BRICS countries and if it deviates from the US. The linear regression is used to identify if the independent variables of a factor model can explain the dependent variable of another model’s factor(s). The results reveal that there is no single factor model that can dominate in the BRICS countries, but rather model dominance is unique for each country. The explanatory power of the factors is found to deviate from the US. The results suggest that certain pricing information related to risk premiums and mispricing are covered within the common Fama and French factors in the BRICS countries, but not in the US. This means that in the BRICS countries the more common factors related to risk contain more pricing information about anomalies such as mispricing.
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Tutkimuksen tarkoituksena on selvent\u00e4\u00e4, ett\u00e4 onko BRICS maissa dominoivaa faktorimallia. Tutkimuksessa k\u00e4ytet\u00e4\u00e4n lineaarista regressio mallia, jolla voidaan todentaa, pystyyk\u00f6 tietty faktorimalli dominoimaan toisen fak-torimallin faktoreita ja kuinka tulokset poikkeavat Yhdysvalloista. Tulosten mukaan BRICS maissa ei ole yht\u00e4 dominoivaa faktorimallia, vaan faktorimallien dominointi on maakohtainen. T\u00e4m\u00e4n Pro gradun tuloksista selvi\u00e4\u00e4, ett\u00e4 tiettyjen faktoreiden hinnoittelutiedot kohdistuen preemioihin ja v\u00e4\u00e4rinhinnoitteluun eroavat merkitt\u00e4v\u00e4sti BRICS maiden ja Yhdysvaltojen v\u00e4lill\u00e4.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.abstract", "value": "Using several factors and anomaly variables, I examine the risk premiums and factor models for dominance in the BRICS countries from 2004 to 2020. 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spellingShingle Papp, Béla Which Factors in BRICS? Factor Model Anomaly Risk Premium Mispricing Taloustiede Economics 2041 riskitekijät BRICS-maat risk factors BRICS countries
title Which Factors in BRICS?
title_full Which Factors in BRICS?
title_fullStr Which Factors in BRICS? Which Factors in BRICS?
title_full_unstemmed Which Factors in BRICS? Which Factors in BRICS?
title_short Which Factors in BRICS?
title_sort which factors in brics
title_txtP Which Factors in BRICS?
topic Factor Model Anomaly Risk Premium Mispricing Taloustiede Economics 2041 riskitekijät BRICS-maat risk factors BRICS countries
topic_facet 2041 Anomaly BRICS countries BRICS-maat Economics Factor Model Mispricing Risk Premium Taloustiede risk factors riskitekijät
url https://jyx.jyu.fi/handle/123456789/80794 http://www.urn.fi/URN:NBN:fi:jyu-202204282461
work_keys_str_mv AT pappbela whichfactorsinbrics