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/ |
| _version_ | 1848798516660404224 |
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| author | Ahmed, Shamim Bu, Ziwen Tsvetanov, Daniel |
| author_facet | Ahmed, Shamim Bu, Ziwen Tsvetanov, Daniel |
| author_sort | Ahmed, Shamim |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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-factor model jointly take third place. But the pairwise cross-sectional R2 and the multiple model comparison tests show that the Hou, Xue, and Zhang (2015) q-factor model, the Fama and French (2015) five-factor and four-factor models, and the Barillas and Shanken (2018) six-factor model take equal first place in the horse race. |
| first_indexed | 2025-11-14T20:21:01Z |
| format | Article |
| id | nottingham-51527 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T20:21:01Z |
| publishDate | 2018 |
| publisher | Cambridge University Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-515272018-05-03T05:32:31Z https://eprints.nottingham.ac.uk/51527/ Best of the best: a comparison of factor models Ahmed, Shamim Bu, Ziwen Tsvetanov, Daniel 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-factor model jointly take third place. But the pairwise cross-sectional R2 and the multiple model comparison tests show that the Hou, Xue, and Zhang (2015) q-factor model, the Fama and French (2015) five-factor and four-factor models, and the Barillas and Shanken (2018) six-factor model take equal first place in the horse race. Cambridge University Press 2018-04-23 Article PeerReviewed application/pdf en https://eprints.nottingham.ac.uk/51527/1/best%20of%20the%20best.pdf Ahmed, Shamim, Bu, Ziwen and Tsvetanov, Daniel (2018) Best of the best: a comparison of factor models. Journal of Financial and Quantitative Analysis . ISSN 0022-1090 (In Press) Asset pricing model Factor model Model evaluation |
| spellingShingle | Asset pricing model Factor model Model evaluation Ahmed, Shamim Bu, Ziwen Tsvetanov, Daniel Best of the best: a comparison of factor models |
| title | Best of the best: a comparison of factor models |
| title_full | Best of the best: a comparison of factor models |
| title_fullStr | Best of the best: a comparison of factor models |
| title_full_unstemmed | Best of the best: a comparison of factor models |
| title_short | Best of the best: a comparison of factor models |
| title_sort | best of the best: a comparison of factor models |
| topic | Asset pricing model Factor model Model evaluation |
| url | https://eprints.nottingham.ac.uk/51527/ |