Work

Comparing Asset Pricing Models

Year: 2018

Type: article

Abstract: ABSTRACT A Bayesian asset pricing test is derived that is easily computed in closed form from the standard F ‐statistic. Given a set of candidate traded factors, we develop a related test procedure that permits the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the recent models of Hou, Xue, and Zhang (2015a, 2015b) and Fama and French (2015, 2016) are dominated by a variety of models that include a momentum factor, along with value and profitability factors that are updated monthly.

Source: The Journal of Finance

DOI: 10.1111/jofi.12607

Authors: FRANCISCO BARILLAS, JAY SHANKEN

Institutions: Emory University, National Bureau of Economic Research, Southern Methodist University, Hong Kong University of Science and Technology

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2795848635

FWCI: 57.05

Cites: 62

Cited by: 463

Related to: 10