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的效率和金融融入世界资本市场的程度。此外，我寻求跨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，我在两个维度上测试效率低下的情况。在第一个子项目中，检查了迄今为止主要针对美国资本市场记录的大量异常变量。本部分的主要目的是检验这些异常现象是否普遍存在于国际资本市场。在记录了这些异常现象是否存在之后，一个重要的问题是，这些异常现象是否可以用因子模型来解释，从而被解释为系统性风险，或者这些异常现象是否构成市场效率低下。为了检验这一点，我使用了许多不同的无条件和条件因素模型。在第二个子项目中，我的目标是提供一个更直接的测试在何种程度上投资者的行为偏差扭曲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。在检验了这种行为评分及其组成部分是否在国际资本市场上定价后，我检验了哪些国家的特征或法律的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，我测试国际市场在多大程度上融入了区域或世界市场。为了分析这个问题，我测试区域和全球因素模型是否可以跨越当地的同行。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。通过对不同国家特征的地方因素α的回归，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。目标是测试一个类别的资产定价模型（例如，债券）可以对其他资产类别的投资组合进行定价（例如，商品、期权、股票）。最后，我的目标是开发一个最优的资产定价模型的因素可能来自所有的资产类别。

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.