Are the Fama and French Factors Global or Country Specific?
检验了法玛-弗伦奇三因子模型的国家特定版本和全球版本哪个更能解释国际股票收益的时间序列变化，发现国家特定模型表现更好。
This article examines whether country-specific or global versions of Fama and French’s three-factor model better explain time-series variation in international stock returns. Regressions for portfolios and individual stocks indicate that domestic factor models explain much more time-series variation in returns and generally have lower pricing errors than the world factor model. In addition, decomposing the world factors into domestic and foreign components demonstrates that the addition of foreign factors to domestic models leads to less accurate in-sample and out-of-sample pricing. Practical applications of the three-factor model, such as cost of capital calculations and performance evaluations, are best performed on a country-specific basis.