This study constructs a cross-market risk model based upon local multi-factor risk models of Taiwan and China equity markets. We employ world, country,
industry, and global risk factors to build a structural model which could explain the relationship between local factors across markets by further decomposing local factor returns. Under the structure, this model allows each local market to adopt different local factors rather than force all local markets to use one parsimonious set of factors. Therefore, this model could provide both in-depth and broad coverage analysis of international equity portfolios. The innovative methodology is first introduced by Barra as the Integrated Model.
Moreover, we build a simple portfolio and its corresponding benchmark to illustrate the power of our model. Once the contents of a portfolio are decided, this model could provide not only the risk estimation and decomposition in advance but also the performance attribution compared with the benchmark after the portfolio is realized. The analytical viewpoint could also easily change with different numeraire perspectives. The result demonstrates that this model is practical and flexible for international equity portfolio analysis.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0715110-011210 |
| Date | 15 July 2010 |
| Creators | Liou, Siang-yi |
| Contributors | Chien-Chiang Lee, Yih Jeng, Pei-fen Chen |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0715110-011210 |
| Rights | campus_withheld, Copyright information available at source archive |
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