Eun, Cheol S.; Lee, Kyuseok; Wei, Fengrong - 2023
Considering that the popular Fama-French-Carhart (FFC) factors are actually long-short stock portfolios, we (i) test if the FFC six country factors are globalized, (ii) compare the pricing performance of the global, country, and local orthogonalized factors, and (iii) study the pricing...