NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
loading...

Comparing Asset Pricing Models

Francisco Barillas, Jay Shanken

NBER Working Paper No. 21771
Issued in December 2015
NBER Program(s):Asset Pricing

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 an analysis of model comparison, i.e., 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,b) and Fama and French (2015a,b) are both dominated by five and six-factor models that include a momentum factor, along with value and profitability factors that are updated monthly.

download in pdf format
   (714 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w21771

Published: FRANCISCO BARILLAS & JAY SHANKEN, 2018. "Comparing Asset Pricing Models," The Journal of Finance, vol 73(2), pages 715-754. citation courtesy of

Users who downloaded this paper also downloaded* these:
Stambaugh and Yuan w21533 Mispricing Factors
Hou, Mo, Xue, and Zhang w20682 Which Factors?
He, Kelly, and Manela w21920 Intermediary Asset Pricing: New Evidence from Many Asset Classes
Barillas and Shanken w21698 Which Alpha?
Koijen and Yogo w21749 A Demand System Approach to Asset Pricing
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us