Ericsson, Johan (contributor); Karlsson, Sune (contributor) - 2003 - [Elektronische Ressource], Rev. February 12, 2004
We use Bayesian techniques to select factors in a general multifactor asset pricing model. From a given set of 15 … factors we evaluate all possible pricing models by the extent to which they describe the data as given by the posterior model … pricing model should include market excess return, size premium, value premium and the momentum factor. There is some evidence …