| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20682 |
| 来源ID | Working Paper 20682 |
| Which Factors? | |
| Kewei Hou; Haitao Mo; Chen Xue; Lu Zhang | |
| 发表日期 | 2014-11-17 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Many recently proposed, seemingly different factor models are closely related. In spanning tests, the q-factor model largely subsumes the Fama-French (2015, 2018) 5-and 6-factor models, and the q⁵ model captures the Stambaugh-Yuan (2017) model. The Stambaugh-Yuan factors are sensitive to their construction, and once replicated via the standard approach, are close to the q-factors, with correlations of 0.8 and 0.84. Finally, it seems difficult to motivate the Fama-French 5-factor model from valuation theory, which predicts a positive relation between the expected investment and the expected return. |
| 主题 | Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w20682 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578356 |
| 推荐引用方式 GB/T 7714 | Kewei Hou,Haitao Mo,Chen Xue,et al. Which Factors?. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
