Journal of Financial Economics·Volume 128, Issue 2·May 2018

选择因子

作者：Eugene F. Fama（Booth School of Business, University of Chicago）

Kenneth R. French（Tuck School of Business, Dartmouth College）

摘要：我们的目标是深入了解模型因子的最大平方夏普比率，将其作为对资产定价模型进行评级的指标。我们考虑嵌套和非嵌套模型。嵌套模型是资本资产定价模型、Fama和French（1993）的三因子模型、Fama和French（2015）的五因子扩展模型，以及增加动量因子的六因子模型。非嵌套模型考察了六因子模型中因子选择的三个问题：（1）作为用于构建盈利能力因素的变量，使用现金盈利能力还是经营盈利能力;（2）长短期利差因子还是超额收益因子;（3）使用小盘股或大盘股的因子还是两者都使用的因子。

关键词：资产定价测试，因子模型，夏普比率，最大平方夏普比率

Choosing factors

Eugene F. Fama（Booth School of Business, University of Chicago）

Kenneth R. French（Tuck School of Business, Dartmouth College）

ABSTRACT

Our goal is to develop insights about the maximum squared Sharpe ratio for model factors as a metric for ranking asset pricing models. We consider nested and non-nested models. The nested models are the capital asset pricing model, the three-factor model of Fama and French (1993), the five-factor extension in Fama and French (2015), and a six-factor model that adds a momentum factor. The non-nested models examine three issues about factor choice in the six-factor model: (1) cash profitability versus operating profitability as the variable used to construct profitability factors, (2) long-short spread factors versus excess return factors, and (3) factors that use small or big stocks versus factors that use both.

Keywords：Asset pricing tests, Factor model, Sharpe ratio, Max squared Sharpe ratio

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18300515#!

翻译：何杉