Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models
Studies consistently find that inflation is an important augmented factor for intertemporal capital asset pricing models (ICAPMs) when pricing the Fama–French 25 size and book-to-market portfolios. We extend this line of research by investigating two alternative ICAPM models (from Michel; Hahn and L...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Sage Publications
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/62766 |
| _version_ | 1848760912156033024 |
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| author | Shi, Q. Li, B. Cheung, Adrian Chung, R. |
| author_facet | Shi, Q. Li, B. Cheung, Adrian Chung, R. |
| author_sort | Shi, Q. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Studies consistently find that inflation is an important augmented factor for intertemporal capital asset pricing models (ICAPMs) when pricing the Fama–French 25 size and book-to-market portfolios. We extend this line of research by investigating two alternative ICAPM models (from Michel; Hahn and Lee) and the three-factor model from Hou et al. We find significant evidence that both ICAPMs and Hou et al.’s three-factor model perform better when augmented with inflation than the original models. The augmented models achieve a good model fit with the fewest factors, thus avoiding or alleviating the over-fitting problem. |
| first_indexed | 2025-11-14T10:23:19Z |
| format | Journal Article |
| id | curtin-20.500.11937-62766 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:23:19Z |
| publishDate | 2017 |
| publisher | Sage Publications |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-627662018-05-16T04:12:40Z Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models Shi, Q. Li, B. Cheung, Adrian Chung, R. Studies consistently find that inflation is an important augmented factor for intertemporal capital asset pricing models (ICAPMs) when pricing the Fama–French 25 size and book-to-market portfolios. We extend this line of research by investigating two alternative ICAPM models (from Michel; Hahn and Lee) and the three-factor model from Hou et al. We find significant evidence that both ICAPMs and Hou et al.’s three-factor model perform better when augmented with inflation than the original models. The augmented models achieve a good model fit with the fewest factors, thus avoiding or alleviating the over-fitting problem. 2017 Journal Article http://hdl.handle.net/20.500.11937/62766 10.1177/0312896216686153 Sage Publications restricted |
| spellingShingle | Shi, Q. Li, B. Cheung, Adrian Chung, R. Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models |
| title | Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models |
| title_full | Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models |
| title_fullStr | Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models |
| title_full_unstemmed | Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models |
| title_short | Augmenting the intertemporal CAPM with inflation: Further evidence from alternative models |
| title_sort | augmenting the intertemporal capm with inflation: further evidence from alternative models |
| url | http://hdl.handle.net/20.500.11937/62766 |