{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T15:36:17Z","timestamp":1792856177357,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper investigates the ability of local factors in asset pricing models to price anomaly portfolio returns in the stock markets of eight large industrialized countries. Unlike traditional marketwide factors, local factors are developed from sample test assets. We employ two-factor models based on the ZCAPM of Kolari, Liu, and Huang (2021) that are derived from Black's (1972) zero-beta CAPM. Sample anomaly portfolio returns in each country are used to compute local factors for these models. Standard out-of-sample tests using Fama and MacBeth (1973) cross-sectional regressions show that local factors can effectively price anomalies in different countries. Relatively high goodness-of-fit is achieved with R 2 values in the range of 63 percent to 99 percent across countries. Also, estimated market prices of risk associated with factor loadings in the models are highly significant. As robustness checks, we conduct split sample tests as well as comparative tests to prominent multifactor models in the Japanese and the US stock markets. We conclude that ZCAPM-based models with local factors do a good job of explaining the cross section of anomaly portfolio returns in different countries.<\/jats:p>","DOI":"10.2139\/ssrn.7662898","type":"posted-content","created":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T14:36:36Z","timestamp":1792852596000},"source":"Crossref","is-referenced-by-count":0,"title":["Explaining International Stock Market Anomalies: A Local Market Factor Approach"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-3352-6976","authenticated-orcid":true,"given":"James W.","family":"Kolari","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Wei","family":"Liu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Tim","family":"Dong","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Huiling","family":"Liao","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,24]],"date-time":"2026-10-24T14:36:36Z","timestamp":1792852596000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7662898"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7662898","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}