Journal of Finance, Volume 73, Issue 2, April 2018, Pages 715-754

资产定价模型的比较

作者：Francisco Barillas (Emory University), Jay Shanken (Emory University)

摘要：贝叶斯资产定价测试的推导可以通过标准F统计量以封闭形式计算得出。给定一组候选交易因子，我们开发了一个相关的测试程序，对于所有收集到的各种可能的包含给定交易因子子集的资产定价模型，该程序均可计算模型的概率。我们发现最近的Hou, Xue和Zhang (2015a，2015b)以及Fama和French (2015,2016)的模型主要被一系列包括动量因子及每月更新的价值和收益率因子的模型所影响。

Comparing Asset Pricing Models

Francisco Barillas (Emory University), Jay Shanken (Emory University)

ABSTRACT

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

原文链接：

https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12607

翻译：秦秀婷