Financial Integration and Market (In)Efficiency in International Capital Markets

通过这个项目，我研究了国际资本市场在多大程度上是有效的，并在财务上融入了世界资本市场。此外，我寻求对不同资产类别的资产定价因素模型的综合观点。在这个项目中，我测试了两个维度的低效率。在第一个子项目中，研究了迄今为止主要针对美国资本市场记录的大量异常变量。这一部分的主要目标是检验这些异常现象是否普遍存在于国际资本市场。在证明了这些异常是否存在之后，一个重要的问题是，它们是否可以用因素模型来解释，从而被解释为系统风险，或者这些是否构成了市场的无效率。为了检验这一点，我使用了许多不同的无条件因素和条件因素模型。在第二个子项目中，我的目标是提供一个更直接的测试，以证明投资者的行为偏见在多大程度上扭曲了国际资本市场的资产价格。为此，将引入一个基于捕获概率加权行为的度量的行为偏差评分变量。在测试了这种行为得分及其组成部分是否在国际资本市场上定价之后，我测试了哪些国家特征或法律环境放大或抑制了行为偏差对国际市场资产价格的影响。在第三个子项目中，我测试了国际市场在区域或世界市场中的整合程度。为了分析这个问题，我测试了区域和全球因子模型是否可以跨越它们的本地对应模型。此外，它将检查是否本地，区域或全球因素模型在解释不同的资本市场异常表现更好。通过回归不同国家特征的地方因素alpha，进一步研究了金融一体化的决定因素。在最后一个子项目中，我研究了不同资产类别的资产定价因素。目的是测试一个资产类别（如债券）的资产定价模型在多大程度上可以为其他资产类别（如商品、期权、股票）的投资组合定价。最后，我的目标是开发一个最优资产定价模型，其因素可能来自所有资产类别。

With this project, I examine the degree to which international capital markets are efficient and financially integrated into a world capital market. Furthermore, I seek an integrated view on asset pricing factor models across different asset classes. In the project, I test for inefficiencies in two dimensions. In the first subproject, a large set of anomaly variables, documented thus far primarily for the U.S. capital market, is examined. The main goal of this part is to test whether these anomalies are pervasive across international capital markets. Having documented whether these anomalies exist, an important question relates to whether they can be explained by factor models, and, thus, be interpreted as systematic risk, or whether these constitute market inefficiencies. To examine this, I use numerous different unconditional and conditional factor models. In a second subproject, I aim to provide a more direct test on to what degree behavioral biases of investors distort asset prices in international capital markets. For doing so, a behavioral bias score variable, based on measures that capture probability-weighting behavior, will be introduced. After testing whether this behavioral score as well as its components is/are priced in international capital markets, I test which country characteristics or legal environments amplify or dampen the effect of behavioral biases on asset prices in international markets. In a third subproject, I test to what degree international markets are integrated in the regional or world markets. To analyze this question, I test whether regional and global factor models can span their local counterparts. Furthermore, it will be examined whether local, regional, or global factor models perform better in explaining different capital market anomalies. I further study the determinants of financial integration by regressing the local factor alphas on different country characteristics. In a final subproject, I examine asset-pricing factors across different asset classes. The goal is to test to what degree asset-pricing models from one class (e.g., bonds) can price portfolios of other asset classes (e.g., commodities, options, stocks). Finally, I aim to develop an optimal asset-pricing model with factors possibly derived from all asset classes.