| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w21771 |
| 来源ID | Working Paper 21771 |
| Comparing Asset Pricing Models | |
| Francisco Barillas; Jay Shanken | |
| 发表日期 | 2015-12-07 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w21771 |
| 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/579445 |
| 推荐引用方式 GB/T 7714 | Francisco Barillas,Jay Shanken. Comparing Asset Pricing Models. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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