Which Alpha?

• 成果类型: Article
• 署名作者: Barillas, Francisco; Shanken, Jay
• 署名单位: Emory University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw101
• 发表日期: 2017
• 页码: 1316
• 关键词: asset pricing-models; mutual fund performance; DISCOUNT FACTOR MODELS; Expected returns; EXCESS RETURNS; cross-section; tests; RISK; portfolio; EFFICIENCY

摘要

A common approach to comparing asset pricing models involves a competition in pricing test-asset returns. In contrast, we show that for models with traded factors, when the comparison is framed appropriately in terms of success in pricing both the test-asset and factor returns, the extent to which each model is able to price the factors in the other model is what matters for model comparison. Test assets are irrelevant based on several prominent criteria. For models with nontraded factors, test assets are relevant for model comparison insofar as they are needed to identify factor-mimicking portfolio returns.