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- W2227115196 abstract "We run a horse race among eight proposed factors and eight proposed conditioning variables for explaining the cross section of stock returns. The purpose is to better understand which factors, in combination with which conditioning variables, seem robust in explaining cross-sectional data, and to seek an economic interpretation of the specifications that appear most promising. We find that a consumption growth factor, conditioning on lagged business income growth, is the most successful in explaining cross sectional variation of average quarterly returns in the 25 Fama-French portfolios." @default.
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- W2227115196 date "2005-01-01" @default.
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- W2227115196 title "A Comparison of Factor Models for Explaining the Cross Section of Stock Returns" @default.
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- W2227115196 doi "https://doi.org/10.2139/ssrn.769084" @default.
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