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Which Factors? / Kewei Hou, Haitao Mo, Chen Xue, Lu Zhang.
- Format:
- Book
- Author/Creator:
- Hou, Kewei.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w20682.
- NBER working paper series no. w20682
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2014.
- Summary:
- 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.
- Notes:
- Print version record
- November 2014.
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