AN examination of linear factor models in U.K. stock returns in the presence of dynamic trading
本文采用Ferson和Siegel的方法，检验了十种线性因子模型在英国股票收益中的无条件均值-方差效率，发现所有多因子模型的效率均被强烈拒绝，主要原因是允许测试资产和因子进行动态交易。
Abstract This study uses the approach of Ferson and Siegel, Rev Financ Stud 22:2735–2758 (2009), and Ferson, Siegel and Wang, J Financ Quant Anal, forthcoming, (2024) to examine the unconditional mean–variance efficiency, in the presence of conditioning information (UMV), of ten linear factor models in U.K. stock returns. The study finds that the UMV efficiency of all the multifactor models is strongly rejected in U.K. stock returns in two different sets of test assets. This rejection is mainly driven by allowing dynamic trading in the test assets and factors. The optimal use of conditioning information also has a significant impact in relative model comparison tests. In relative model comparison tests based on UMV efficiency, the best performing model is the eight-factor model of Chib and Zeng, J Bus Econ Stat 38:771–783 (2020) model.