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) four-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) five-factor model and the Barillas and Shanken (2018) six-factor model jointly take third place. But the pairwise cross-sectional R2 and the multiple model comparison tests show that the Hou, Xue, and Zhang (2015) q-factor model, the Fama and French (2015) five-factor and four-factor models, and the Barillas and Shanken (2018) six-factor model take equal first place in the horse race.

Item Type: Article
Faculty \ School: Faculty of Social Sciences > Norwich Business School
Depositing User: Pure Connector
Date Deposited: 04 May 2018 14:30
Last Modified: 18 Mar 2020 01:21
URI: https://ueaeprints.uea.ac.uk/id/eprint/66946
DOI: 10.1017/S0022109018000947

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