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dc.contributor.authorShi, Qi
dc.contributor.authorLi, Bin
dc.contributor.authorCheung, Adrian Wai Kong
dc.contributor.authorChung, Richard
dc.date.accessioned2018-12-13T01:30:32Z
dc.date.available2018-12-13T01:30:32Z
dc.date.issued2017
dc.identifier.issn0312-8962
dc.identifier.doi10.1177/0312896216686153
dc.identifier.urihttp://hdl.handle.net/10072/381077
dc.description.abstractStudies 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.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherSage Publications
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto20
dc.relation.ispartofjournalAustralian Journal of Management
dc.subject.fieldofresearchCommerce, management, tourism and services
dc.subject.fieldofresearchInvestment and risk management
dc.subject.fieldofresearchcode35
dc.subject.fieldofresearchcode350208
dc.titleAugmenting the intertemporal CAPM with inflation: Further evidence from alternative models
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.description.notepublicThis publication has been entered into Griffith Research Online as an Advanced Online Version.
gro.hasfulltextNo Full Text
gro.griffith.authorLi, Bin


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