Model Comparison with Transaction Costs
研究发现忽略交易成本会高估某些资产定价模型的表现，考虑交易成本后，Fama-French五因子模型优于其他模型。
ABSTRACT Failing to account for transaction costs materially impacts inferences drawn when evaluating asset pricing models, biasing tests in favor of those employing high‐cost factors. Ignoring transaction costs, Hou, Xue, and Zhang (2015, Review of Financial Studies , 28, 650–705) q ‐factor model and Barillas and Shanken (2018, The Journal of Finance , 73, 715–754) six‐factor models have high maximum squared Sharpe ratios and small alphas across 205 anomalies. They do not, however, come close to spanning the achievable mean‐variance efficient frontier. Accounting for transaction costs, the Fama and French (2015, Journal of Financial Economics , 116, 1–22; 2018, Journal of Financial Economics , 128, 234–252) five‐factor model has a significantly higher squared Sharpe ratio than either of these alternative models, while variations employing cash profitability perform better still.