This study constructs a cross-market risk model based upon local multi-factor risk models of Taiwan, China and Singapore equity markets. This model allows each local market to adopt different local factors rather than force all local markets to use one parsimonious set of factors. We employ the world, country, industry, and global risk factors to build a structural model which could explain the relationship between local factors across market by further decomposing local factor returns. Therefore, this model could provide both in-depth and broad coverage analysis of international equity portfolios.
Furthermore, we build a simple portfolio and its corresponding benchmark to illustrate the usage 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-1114111-143314 |
| Date | 14 November 2011 |
| Creators | Chang, Chia-hua |
| Contributors | Shyh-Weir Tzang, Yih Jeng, Hsin-hui Lin |
| 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-1114111-143314 |
| Rights | user_define, Copyright information available at source archive |
Page generated in 0.0023 seconds