New factors wanted: Evidence from a simple specification test
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |