Best of the best: a comparison of factor models

Ahmed, Shamim and 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)

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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: http://eprints.nottingham.ac.uk/id/eprint/51527

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