Comparing Asset Pricing Models

• 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: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12607
• 发表日期: 2018
• 页码: 715-754
• 关键词: portfolio efficiency; bayesian-approach; FINITE ECONOMY; stock-market; selection; performance; anomalies; arbitrage; returns; tests

摘要

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 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, 2015b) and Fama and French (2015, 2016) are dominated by a variety of models that include a momentum factor, along with value and profitability factors that are updated monthly.