NDLI: SUPPORTED BY UNIGESTION “ Comparing Asset Pricing Models

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SUPPORTED BY UNIGESTION “ Comparing Asset Pricing Models

Content Provider	Semantic Scholar
Author	Barillas, Francisco Shanken, Jay
Copyright Year	2015
Abstract	A Bayesian asset-pricing test is derived that is easily computed in closed-form from the standard F-statistic. Given a set of candidate traded factors, we develop a related test procedure that permits an analysis of model comparison, i.e., the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the recent models of Hou, Xue and Zhang (2015a,b) and Fama and French (2015a,b) are both dominated by five and six-factor models that include a momentum factor, along with value and profitability factors that are updated monthly. Thus, although the standard value factor is redundant, a version that incorporates more timely price information is not. 1 Barillas and Shanken are from Goizueta Business School at Emory University. Shanken is also from the National Bureau of Economic Research. Corresponding author: Jay Shanken, Goizueta Business School, Emory University, 1300 Clifton Road, Atlanta, Georgia, 30322, USA; telephone: (404)727-4772; fax: (404)727-5238. E-mail: jay.shanken@emory.edu. Thanks to Amit Goyal, Lubos Pastor, Tim Simin, Rex Thompson, Pietro Veronesi and seminar participants at the Northern Finance Association meeting, Southern Methodist University, the Universities of Geneva, Luxembourg and Lausanne and Imperial College.
File Format	PDF HTM / HTML
Alternate Webpage(s)	http://fisher.osu.edu/supplements/10/16174/BarillasShanken%2011.7.15.pdf
Alternate Webpage(s)	https://fisher.osu.edu/supplements/10/16174/BarillasShanken%2011.7.15.pdf
Alternate Webpage(s)	https://wpcarey.asu.edu/sites/default/files/fg.pdf
Alternate Webpage(s)	https://workspace.imperial.ac.uk/business-school/Public/research/f_agroup/Shanken%20abstract.pdf
Alternate Webpage(s)	http://www.hec.unil.ch/documents/seminars/ibf/1504.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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