Best of the best: a comparison of factor models
We compare major factor models and find that the Stambaugh and Yuan (2016) four-factor model is the overall winner in the time-series domain. The Hou, Xue, and Zhang (2015) q-factor model takes second place and the Fama and French (2015) five-factor model and the Barillas and Shanken (2018) six-fac...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Cambridge University Press
2018
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/51527/ |