Q‐FACTORS IN EMPIRICAL ASSET PRICING: A REVIEW AND SYNTHESIS
这篇综述梳理了包含盈利和投资因子的q因子模型，并讨论了数据挖掘、风险解释、非理性行为等四种观点，帮助研究者理解这些模型的有效性。
Abstract The latest development in the asset pricing literature is the emergence of empirical asset pricing models comprising q‐factors (profitability and investment factors) in conjunction with other factors. However, as in the case of the older empirical models, there is scepticism regarding the application of these newer factor models consisting of q‐factors because of the debate surrounding the explanatory power of these empirically inspired asset pricing models. This review attempts to synthesize studies pertaining to the four alternative explanations of the asset pricing models comprising the q‐factors (profitability and investment) – the data snooping hypothesis, the risk‐based explanation, the irrational investor behaviour explanation and the interpretation that suggest that the combination of the risk‐free asset and the factors comprising the model span the mean‐variance efficient tangency portfolio that prices the universe of assets.