.png){kind=icon}
返回
Comparing Asset Pricing Models
.png){kind=icon}
OA
AI
DOI：10.1111/jofi.12607.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
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.
Keyword:
PORTFOLIO EFFICIENCY
BAYESIAN-APPROACH
FINITE ECONOMY
STOCK-MARKET
SELECTION
PERFORMANCE
ANOMALIES
ARBITRAGE
RETURNS
TESTS
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
9.5
论文数:
4.0K
被引数:
5.0W
机构
引用论文
分享收藏Random response of symmetric cross-ply composite beams with arbitrary boundary conditions.png)
AIAA Journal
AIAA JournalIF0
PREAI
分享收藏
分享收藏分享收藏
查看更多内容