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Comparing Asset Pricing Models / Francisco Barillas, Jay Shanken.
- Format:
- Book
- Author/Creator:
- Barillas, Francisco.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w21771.
- NBER working paper series no. w21771
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2015.
- Summary:
- 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.
- Notes:
- Print version record
- December 2015.
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