Comparing Asset Pricing Models
提出一种贝叶斯资产定价检验方法，可基于标准F统计量闭式计算模型概率，用于比较不同因子组合的定价模型。发现包含动量因子及月度更新的价值和盈利因子的模型优于近期其他模型。
ABSTRACT A Bayesian asset pricing test is derived that is easily computed in closed form from the standard F ‐statistic. Given a set of candidate traded factors, we develop a related test procedure that permits the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the recent models of Hou, Xue, and Zhang (2015a, 2015b) and Fama and French (2015, 2016) are dominated by a variety of models that include a momentum factor, along with value and profitability factors that are updated monthly.