Best of the best: A comparison of factor models

Ahmed, Shamim, Bu, Ziwen and Tsvetanov, Daniel (2019) Best of the best: A comparison of factor models. Journal of Financial and Quantitative Analysis, 54 (4). pp. 1713-1758. ISSN 0022-1090

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Abstract

We compare major factor models and find that the Stambaugh and Yuan (2016) 4-factor model is the overall winner in the time-series domain. The Hou, Xue, and Zhang (2015) q-factor model takes second place and the Fama and French (2015) 5-factor model and the Barillas and Shanken (2018) 6-factor model jointly take third place. The pairwise cross-sectional R 2 and the multiple model comparison tests show that the Hou et al. (2015) q-factor model, the Fama and French (2015) 5-factor and 4-factor models, and the Barillas and Shanken (2018) 6-factor model take equal first place in the horse race.

Item Type:	Article
Faculty \ School:	Faculty of Social Sciences > Norwich Business School
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Finance Group
Related URLs:	http://www.scopus.com/inward/record.url?...
Depositing User:	Pure Connector
Date Deposited:	04 May 2018 14:30
Last Modified:	21 Oct 2022 18:37
URI:	https://ueaeprints.uea.ac.uk/id/eprint/66946
DOI:	10.1017/S0022109018000947

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