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SUMMARY:Comparing Asset Pricing Models
DTSTART:20150504T140000
DTEND:20150504T153000
DTSTAMP:20260407T095142Z
UID:1942d02ab888f15724c4b9b54a08e27193ac1cc83d6a029bfca300be
CATEGORIES:Conferences - Seminars
DESCRIPTION:Jay A. SHANKEN (Emory University)\nA Bayesian asset-pricing te
 st is developed that is easily computed in closed-form from the standard F
 -statistic. Given a set of candidate traded factors\, we show how this tes
 t can be adapted to permit an analysis of Bayesian model comparison\, i.e.
 \, the computation of model probabilities for the collection of all possib
 le pricing models that are based on subsets of the given factors. We find 
 that the recent q-factor model is superior to the Fama-French three-factor
  model augmented by profitability and net investment factors\, but both mo
 dels are dominated by five or six-factor models that include a momentum fa
 ctor and value and profitability factors that are updated monthly. Thus\, 
 although the standard value factor is redundant\, our tests show that a ve
 rsion that incorporates more timely price information is not.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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