Which factors

Kewei Hou (The Ohio State University and CAFR), Haitao Mo (Louisiana State University), Chen Xue (University of Cincinnati), Lu Zhang (The Ohio State University and NBER)

Many recently proposed, seemingly different factor models are closely related. In spanning tests, the q-factor model largely subsumes the Fama-French (2015, 2018) 5-and 6-factor models, and the q5-model captures the Stambaugh-Yuan (2017) model. The Stambaugh-Yuan factors are sensitive to their construction, and once replicated via the standard approach, are close to the q-factors, with correlations of 0.8 and 0.84. Finally, it seems difficult to motivate the Fama-French 5-factor model from valuation theory, which predicts a positive relation between the expected investment and the expected return

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Year of publication:	[2018]
Authors:	Hou, Kewei ; Mo, Haitao ; Xue, Chen ; Zhang, Lu
Publisher:	[Columbus, Ohio] : The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics
Subject:	The q-factor model \| the Q5 model \| factor spanning tests \| the investment CAPM \| factor investing \| CAPM \| Theorie \| Theory \| Faktorenanalyse \| Factor analysis \| Portfolio-Management \| Portfolio selection \| Schätzung \| Estimation \| Investition \| Investment

Extent:	1 Online-Ressource (circa 52 Seiten)
Series:	Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2189279-9. - Vol. WP 2018, 03 Charles A. Dice Center Working Paper ; No. 2018-03-03 Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2412551-9. - Vol. WP 2018-03-003
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3134771 [DOI]
Classification:	G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011969114