dc.contributor.author | Shi, Qi | |
dc.contributor.author | Li, Bin | |
dc.contributor.author | Cheung, Adrian Wai Kong | |
dc.contributor.author | Chung, Richard | |
dc.date.accessioned | 2018-12-13T01:30:32Z | |
dc.date.available | 2018-12-13T01:30:32Z | |
dc.date.issued | 2017 | |
dc.identifier.issn | 0312-8962 | |
dc.identifier.doi | 10.1177/0312896216686153 | |
dc.identifier.uri | http://hdl.handle.net/10072/381077 | |
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.description.peerreviewed | Yes | |
dc.language | English | |
dc.language.iso | eng | |
dc.publisher | Sage Publications | |
dc.relation.ispartofpagefrom | 1 | |
dc.relation.ispartofpageto | 20 | |
dc.relation.ispartofjournal | Australian Journal of Management | |
dc.subject.fieldofresearch | Commerce, management, tourism and services | |
dc.subject.fieldofresearch | Investment and risk management | |
dc.subject.fieldofresearchcode | 35 | |
dc.subject.fieldofresearchcode | 350208 | |
dc.title | Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models | |
dc.type | Journal article | |
dc.type.description | C1 - Articles | |
dc.type.code | C - Journal Articles | |
gro.faculty | Griffith Business School, Department of Accounting, Finance and Economics | |
gro.description.notepublic | This publication has been entered into Griffith Research Online as an Advanced Online Version. | |
gro.hasfulltext | No Full Text | |
gro.griffith.author | Li, Bin | |