![Best of the Best: A Comparison of Factor Models](https://writelatex.s3.amazonaws.com/published_ver/8760.jpeg?X-Amz-Expires=14400&X-Amz-Date=20240727T041326Z&X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Credential=AKIAWJBOALPNFPV7PVH5/20240727/us-east-1/s3/aws4_request&X-Amz-SignedHeaders=host&X-Amz-Signature=1a002b93c1b96a62c2ee486085b14047eed35d74a2265798418f70b71cbd2c17)
Best of the Best: A Comparison of Factor Models
Auteur
Shamim Ahmed, Ziwen Bu, Daniel Tsvetanov
Last Updated
il y a 6 ans
License
Creative Commons CC BY 4.0
Résumé
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.
![Best of the Best: A Comparison of Factor Models](https://writelatex.s3.amazonaws.com/published_ver/8760.jpeg?X-Amz-Expires=14400&X-Amz-Date=20240727T041326Z&X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Credential=AKIAWJBOALPNFPV7PVH5/20240727/us-east-1/s3/aws4_request&X-Amz-SignedHeaders=host&X-Amz-Signature=1a002b93c1b96a62c2ee486085b14047eed35d74a2265798418f70b71cbd2c17)