Comparing Asset Pricing Models

Comparing Asset Pricing Models

  • FRANCISCO BARILLAS
  • JAY SHANKEN

Article first published online: 8th February 2018 DOI: 10.1111/jofi.12607

Abstract


A Bayesian asset pricing test is derived that is easily computed in closed form from the standard ‐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.

Sign in to access the full article.

Related articles


MISCELLANEA

Article first published online: 31st March 2018 / DOI: 10.1111/jofi.12554

Read Article

ANNOUNCEMENTS

Article first published online: 31st March 2018 / DOI: 10.1111/jofi.12555

Read Article

ISSUE INFORMATION FM

Article first published online: 31st March 2018 / DOI: 10.1111/jofi.12557

Read Article

ISSUE INFORMATION BM

Article first published online: 31st March 2018 / DOI: 10.1111/jofi.12558

Read Article

AMUNDI PIONEER PRIZES FOR 2017*

Article first published online: 31st March 2018 / DOI: 10.1111/jofi.12681

Read Article

Liquidity as Social Expertise

  • PABLO KURLAT

Article first published online: 10th January 2018 / DOI: 10.1111/jofi.12606

Read Article

Are you an Author?


Please read our submission requirements and find out how to submit your paper to the Journal of Finance

Submit a paper