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Return
Which Factors?
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DOI：10.1093/rof/rfy032.png)
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Abstract
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Many recently proposed, seemingly different factor models are closely related. In spanning tests, the q-factor model largely subsumes the Fama-French five- and six-factor models, and the q(5) model subsumes the Stambaugh-Yuan four-factor model. Their mispricing factors are sensitive to the construction procedure, and once replicated via the traditional approach, are close to the q-factors, with correlations of 0.8 and 0.84. Finally, consistent with the investment CAPM, valuation theory predicts a positive relation between the expected investment and the expected return.
Keywords:
Factor models
Spanning tests
The investment CAPM
Valuation theory
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