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Prof. Alexander Wagner, SFI@UZH, presents at Swiss Society for Financial Market Research Conference

Posted by
Anita Belitz Krasniqi
on
Tuesday, April 19, 2016 - 15:30

Alexander Wagner presented his paper "Has the Pricing of Stocks Become More Global?", co-authored with Ivan Petzev and Andreas Schrimpf, at the Swiss Society for Financial Market Research Conference on April 8.

In an efficient and fully integrated financial market, only global risks command a risk premium. Have we arrived at this stage? In "Has the pricing of stocks become more global?" the authors provide a differentiated answer to this question. They find that in recent years global multi-factor models have been catching up with their local counterparts in terms of some performance measures, but not in terms of others. Interpreting this evidence, Wagner and his co-authors draw two key implications:

  1. Global equity markets appear to have progressed surprisingly little towards fully integrated pricing.
  2. Local factor models remain better suited than global ones when conducting performance attribution or when calculating the cost of capital.

Download the presentation slides here.

The paper was concurrently presented at the CEPR First Annual Spring Symposium in Financial Economics by co-author, Ivan Petzev.

Download the paper here.