What difference do the new factor models make in portfolio allocation?
This paper compares the Hou-Xue-Zhang four-factor model with the Fama-French five-factor model from an investing perspective both in- and out-of-sample. Without margin requirements and model uncertainty, the Hou-Xue-Zhang model outperforms the Fama-French model. However, the outperformance could bec...
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Main Authors: | , , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2024
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Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5232 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6231/viewcontent/NewFactorModel_PA_202311_sv.pdf |
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Institution: | Singapore Management University |
Language: | English |