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Discuss how asset pricing models can be applied in an international equity context. Theory Define the CAPM, F&F, Carhart four factor and Five factor model
Discuss how asset pricing models can be applied in an international equity context.
Theory | Define the CAPM, F&F, Carhart four factor and Five factor model | 50% |
Application | Using capm as an example show its application in the international finance area | 30% |
Limitations | Identify the problem of market cointegration and spillover effects | 20% |
Reference: Read page 466 to 488.
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