New factors wanted: Evidence from a simple specification test

• Main Authors: HE, Ai, HUANG, Dashan, ZHOU, Guofu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: Pricing error; Characteristic; Lottery; Expectation extrapolation; Limits-to-arbitrage; Corporate Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/6215; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7214/viewcontent/SSRN_id3143752.pdf
• Institution: Singapore Management University

In this paper, we examine the pricing errors (PEs) of three kinds of factor models: a) six well known ones– the CAPM, the Fama-French three-factor model, the Carhart four-factor model, the Fama-French five-factor model, the Hou-Xue-Zhang Q-factor model, and the Stambaugh-Yuan mispricing-factor model...