БАГАТОФАКТОРНІ МОДЕЛІ ОЦІНЮВАННЯ ІНВЕСТИЦІЙНИХ ПРЕМІЙ: АНАЛІЗ ДИСКУРСУ ТА МІСЦЕ В СУЧАСНІЙ ТЕОРІЇ МІЖНАРОДНОГО ПОРТФЕЛЬНОГО ІНВЕСТУВАННЯ

Abstract

The paper dwells on multi-factor models of individual securities and investment portfolios expected returns and investment premiums valuation. Main stages of these models appearance and development are discovered. Theory and practice realized that single-index models were not relevant in terms of estimating expected returns, since at least several basic factors affected premiums substantially. Notwithstanding the basic principle of compensating risk beared by respective return remained unchanged two new models – intertemporal CAPM and international CAPM were underlying dynamic development of multi-factor models. The latter along with market risk factor considered other premium components like those resulting from exchange rate risks for different currencies. Components of scientific discourse in this field are identified, position of models under question in contemporary theory of international portfolio investing is defined. Multi-factor models expanded and enhanced portfolio paradigm of international investing, particularly its specific concept of expected returns valuation. Unlike some other paradigm components this concept is proved to be positive theoretically and well applicable in practice. Factors of international models of investment premiums valuation origin are specified. More precise emphasize is made on international multi-factor CAPM and APT models. More cross functional nature of arbitrage pricing model compared to CAPM is justified. Gnoseological status of Fama and French multi-factor model is specified. Its affiliation with both existing paradigms of international investing – value investing and portfolio paradigm is argued. This in turn determines its unique position in existing knowledge in the field. Technically and methodologically it was developed on the ground of traditional CAPM model – it implies existing risk factor, specific sensitivity ratio to the existing risk factor and respective investment premium. This justifies the model affiliation with traditional and dominating portfolio paradigm of international investing. On the other hand, in its current version the model completely corresponds with value paradigm principles. Intrinsic, internal value of securities is defined, the valuation is subjective, traditional fundamental analysis ratios like book-to-market value index are used. The model thus establishes particular connection between two paradigms of international portfolio investing.