![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=20240727T025448Z&X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Credential=AKIAWJBOALPNFPV7PVH5/20240727/us-east-1/s3/aws4_request&X-Amz-SignedHeaders=host&X-Amz-Signature=8a6f9ff17e734a35638b0163b0f6624c337e1f077d0f9f3fce380d010617c490)
Best of the Best: A Comparison of Factor Models
Author
Shamim Ahmed, Ziwen Bu, Daniel Tsvetanov
Last Updated
6 anni fa
License
Creative Commons CC BY 4.0
Abstract
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=20240727T025448Z&X-Amz-Algorithm=AWS4-HMAC-SHA256&X-Amz-Credential=AKIAWJBOALPNFPV7PVH5/20240727/us-east-1/s3/aws4_request&X-Amz-SignedHeaders=host&X-Amz-Signature=8a6f9ff17e734a35638b0163b0f6624c337e1f077d0f9f3fce380d010617c490)