1,622
Views
20
CrossRef citations to date
0
Altmetric
Articles

Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework

&

References

  • Affleck-Graves, J., and Mcdonald, B. (1989), “Nonnormalities and Tests of Asset Pricing Theories,” The Journal of Finance, 44, 889–908. DOI: 10.1111/j.1540-6261.1989.tb02629.x.
  • Ang, A. (2014), Asset Management: A Systematic Approach to Factor Investing, Financial Management Association Survey and Synthesis, New York, NY: Oxford University Press.
  • Asness, C. and Frazzini, A. (2013), “The Devil in HML’s Details,” The Journal of Portfolio Management, 39, 49–68. DOI: 10.3905/jpm.2013.39.4.049.
  • Asness, C. S., Frazzini, A., and Pedersen, L. H. (2014), “Quality Minus Junk,” Working paper.
  • Avramov, D., and Chao, J. (2006), “An Exact Bayes Test of Asset Pricing Models with Application to International Markets,” The Journal of Business, 79, 293–324. DOI: 10.1086/497412.
  • Barillas, F., and Shanken, J. (2017), “Which Alpha?” The Review of Financial Studies, 30, 1316–1338. DOI: 10.1093/rfs/hhw101.
  • Barillas, F., and Shanken, J. (2018), “Comparing Asset Pricing Models,” The Journal of Finance, 73, 715–754. DOI: 10.1111/jofi.12607.
  • Carhart, M. M. (1997), “On Persistence in Mutual Fund Performance,” The Journal of Finance, 52, 57–82. DOI: 10.1111/j.1540-6261.1997.tb03808.x.
  • Chib, S. (1995), “Marginal Likelihood From the Gibbs Output,” Journal of the American Statistical Association, 90, 1313–1321. DOI: 10.1080/01621459.1995.10476635.
  • Chib, S. (2001), “Markov Chain Monte Carlo methods: Computation and Inference,” in Handbook of Econometrics, eds. Heckman, J. J. and Leamer, E., Amsterdam: North-Holland, pp. 3569–3649.
  • Chib, S., and Ergashev, B. (2009), “Analysis of Multifactor Affine Yield Curve Models,” Journal of the American Statistical Association, 104, 1324–1337. DOI: 10.1198/jasa.2009.ap08029.
  • Chib, S., and Greenberg, E. (1995), “Understanding the Metropolis–Hastings Algorithm,” The American Statistician, 49, 327–335. DOI: 10.2307/2684568.
  • Chib, S., and Jeliazkov, I. (2001), “Marginal Likelihood From the Metropolis–Hastings Output,” Journal of the American Statistical Association, 96, 270–281. DOI: 10.1198/016214501750332848.
  • Chib, S., Shin, M., and Simoni, A. (2018), “Bayesian Estimation and Comparison of Moment Condition Models,” Journal of the American Statistical Association, 113, 1656–1668. DOI: 10.1080/01621459.2017.1358172.
  • Chib, S., Zeng, X., and Zhao, L. (2018), “On Comparing Asset Pricing Models,” The Journal of Finance, in press.
  • Cochrane, J. H. (2009), Asset Pricing (revised ed.). Princeton, NJ: Princeton University Press.
  • Dufour, J.-M., Khalaf, L., and Beaulieu, M.-C. (2003), “Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models,” Oxford Bulletin of Economics and Statistics, 65, 891–906. DOI: 10.1046/j.0305-9049.2003.00085.x.
  • Fama, E. F. (1965), “The Behavior of Stock-Market Prices,” The Journal of Business, 38, 34–105. DOI: 10.1086/294743.
  • Fama, E. F., and French, K. R. (1993), “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, 33, 3–56. DOI: 10.1016/0304-405X(93)90023-5.
  • Fama, E. F., and French, K. R. (2015), “A Five-Factor Asset Pricing Model,” Journal of Financial Economics, 116, 1–22. DOI: 10.1016/j.jfineco.2014.10.010.
  • Fama, E. F., and French, K. R. (2017), “Choosing Factors,” Chicago Booth Paper, 16–17.
  • Frazzini, A., and Pedersen, L. H. (2014), “Betting Against Beta,” Journal of Financial Economics, 111, 1–25. DOI: 10.1016/j.jfineco.2013.10.005.
  • Gelfand, A. E., and Smith, A. F. M. (1990), “Sampling-Based Approaches to Calculating Marginal Densities,” Journal of the American Statistical Association, 85, 398–409. DOI: 10.1080/01621459.1990.10476213.
  • Hansen, L. P., and Jagannathan, R. (1991), “Implications of Security Market Data for Models of Dynamic Economies,” Journal of Political Economy, 99, 225–262. DOI: 10.1086/261749.
  • Harvey, C. R., and Liu, Y. (2017), “Lucky Factors,” Working paper.
  • Harvey, C. R., and Zhou, G. (1990), “Bayesian Inference in Asset Pricing Tests,” Journal of Financial Economics, 26, 221–254. DOI: 10.1016/0304-405X(90)90004-J.
  • Hou, K., Xue, C., and Zhang, L. (2015), “Digesting Anomalies: An Investment Approach,” Review of Financial Studies, 28, 650–705. DOI: 10.1093/rfs/hhu068.
  • Jeffreys, H. (1961), Theory of Probability (3rd ed.), London: Oxford University Press.
  • Pástor, L., and Stambaugh, R. F. (2003), “Liquidity Risk and Expected Stock Returns,” Journal of Political Economy, 111, 642–685. DOI: 10.1086/374184.
  • Pukthuanthong, K., Roll, R., and Subrahmanyam, A. (2017), “A Protocol for Factor Identification,” Working paper.
  • Richardson, M., and Smith, T. (1993), “A Test for Multivariate Normality in Stock Returns,” The Journal of Business, 66, 295–321. DOI: 10.1086/296605.
  • Robert, C. P., and Casella, G. (2005), Monte Carlo Statistical Methods (Springer Texts in Statistics), Secaucus, NJ: Springer-Verlag.
  • Ruppert, D. (2010), Statistics and Data Analysis for Financial Engineering, Springer Texts in Statistics, New York: Springer.
  • Shanken, J. (1987), “A Bayesian Approach to Testing Portfolio Efficiency,” Journal of Financial Economics, 19, 195–215. DOI: 10.1016/0304-405X(87)90002-X.
  • Tierney, L. (1994), “Markov Chains for Exploring Posterior Distributions,” Ann. Statist., 22, 1701–1728. DOI: 10.1214/aos/1176325750.
  • Zhou, G. (1993), “Asset-pricing Tests under Alternative Distributions,” The Journal of Finance, 48, 1927–1942. DOI: 10.1111/j.1540-6261.1993.tb05134.x.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.