Best of the Best: A Comparison of Factor Models



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.

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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
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