Asset pricing models: An empirical analysis across countries and time

Abstract

This thesis aims at comparing the predictive power of the different asset pricing models according to time and geographical areas. It analyses the different factors that have been detected to have an impact on stock returns and it tests their empirical performance. The study will be divided in two main parts. The first part serves as an introductory part in order to explain in detail the asset pricing models that will be tested empirically. The second part will then describe the empirical tests conducted in order to compare the predictive power of the different asset pricing models and will try to give an interpretation to the differences found.