Best of the best: a comparison of factor models

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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...

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Bibliographic Details
Main Authors:	Ahmed, Shamim, Bu, Ziwen, Tsvetanov, Daniel
Format:	Article
Language:	English
Published:	Cambridge University Press 2018
Subjects:	Asset pricing model Factor model Model evaluation
Online Access:	https://eprints.nottingham.ac.uk/51527/

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