Best of the Best: A Comparison of Factor Models



Ahmed, Shamim 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). 1713 - 1758.

[img] Text
Factor Models_JFQA-18-18258R1.pdf - Accepted Version

Download (692kB) | Preview

Abstract

<jats:p>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) <jats:italic>q</jats:italic>-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 <jats:italic>R</jats:italic><jats:sup>2</jats:sup> and the multiple model comparison tests show that the Hou et al. (2015) <jats:italic>q</jats:italic>-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.</jats:p>

Item Type: Article
Depositing User: Symplectic Admin
Date Deposited: 17 Jun 2019 08:12
Last Modified: 20 Mar 2020 22:52
DOI: 10.1017/s0022109018000947
URI: http://livrepository.liverpool.ac.uk/id/eprint/3045887