• Login
• Admin

Ahmed, Shamim, Bu, Ziwen and Tsvetanov, Daniel (2018) Best of the best: a comparison of factor models. Journal of Financial and Quantitative Analysis . ISSN 0022-1090 (In Press)

Preview

PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader Download (494kB) | Preview

Abstract

We compare major factor models and find that the Stambaugh and Yuan (2016) four-factor model is the overall winner in the time-series domain. The Hou, Xue, and Zhang (2015)

q-factor model takes second place and the Fama and French (2015) five-factor model and the Barillas and Shanken (2018) six-factor model jointly take third place. But the pairwise cross-sectional R2 and the multiple model comparison tests show that the Hou, Xue, and Zhang (2015) q-factor model, the Fama and French (2015) five-factor and four-factor models, and the Barillas and Shanken (2018) six-factor model take equal first place in the horse race.

Item Type:	Article
Keywords:	Asset pricing model, Factor model, Model evaluation
Schools/Departments:	University of Nottingham, UK > Faculty of Social Sciences > Nottingham University Business School
Depositing User:	Eprints, Support
Date Deposited:	02 May 2018 10:54
Last Modified:	03 May 2018 05:32
URI:	https://eprints.nottingham.ac.uk/id/eprint/51527

Actions (Archive Staff Only)

Edit View