Ahmed, S ORCID: 0000-0003-3712-5213, Bu, Ziwen and Tsvetanov, Daniel
(2019)
Best of the Best: A Comparison of Factor Models.
Journal of Financial and Quantitative Analysis, 54 (4).
pp. 1713-1758.
Text
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Abstract
We compare major factor models and find that the Stambaugh and Yuan (2016) 4-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) 5-factor model and the Barillas and Shanken (2018) 6-factor model jointly take third place. The pairwise cross-sectional R2 and the multiple model comparison tests show that the Hou et al. (2015) q-factor model, the Fama and French (2015) 5-factor and 4-factor models, and the Barillas and Shanken (2018) 6-factor model take equal first place in the horse race.
Item Type: | Article |
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Depositing User: | Symplectic Admin |
Date Deposited: | 17 Jun 2019 08:12 |
Last Modified: | 19 Jan 2023 00:40 |
DOI: | 10.1017/s0022109018000947 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3045887 |