Matches in SemOpenAlex for { <https://semopenalex.org/work/W4287831404> ?p ?o ?g. }
- W4287831404 endingPage "172" @default.
- W4287831404 startingPage "160" @default.
- W4287831404 abstract "To identify the best global factor pricing model is crucial in international asset pricing literature. This study adopts the Bayesian methods of Chib et al. (2020b) and Chib and Zeng (2020) to estimate and compare 14,322 Gaussian and Student-t distributed global factor pricing models. We find strong evidence that Student-t distributed models significantly outperform Gaussian distributed models in both in-sample and out-of-sample tests. This finding highlights the importance of using the Student-t distributions to model the fat tails in global risk factor data. Analysis reveals that the best global factor pricing model is a Student-t distributed factor model with three degrees of freedom and seven risk factors including the six factors of Fama and French (2018) and the betting against beta (BAB) factor of Frazzini and Pedersen (2014). Our results are robust for different estimation samples and in both relative and absolute pricing performance tests." @default.
- W4287831404 created "2022-07-26" @default.
- W4287831404 creator A5022713656 @default.
- W4287831404 creator A5034041778 @default.
- W4287831404 creator A5079235766 @default.
- W4287831404 date "2022-09-01" @default.
- W4287831404 modified "2023-10-02" @default.
- W4287831404 title "New evidence on Bayesian tests of global factor pricing models" @default.
- W4287831404 cites W1995834279 @default.
- W4287831404 cites W2015749074 @default.
- W4287831404 cites W2017646344 @default.
- W4287831404 cites W2073740083 @default.
- W4287831404 cites W2076083594 @default.
- W4287831404 cites W2076438649 @default.
- W4287831404 cites W2090637028 @default.
- W4287831404 cites W2095102090 @default.
- W4287831404 cites W2097494622 @default.
- W4287831404 cites W2099520003 @default.
- W4287831404 cites W2114904621 @default.
- W4287831404 cites W2135199760 @default.
- W4287831404 cites W2136120210 @default.
- W4287831404 cites W2139424964 @default.
- W4287831404 cites W2151306296 @default.
- W4287831404 cites W2157374408 @default.
- W4287831404 cites W2157638220 @default.
- W4287831404 cites W2185063266 @default.
- W4287831404 cites W2320868325 @default.
- W4287831404 cites W2795848635 @default.
- W4287831404 cites W2883049457 @default.
- W4287831404 cites W2912969208 @default.
- W4287831404 cites W2962715865 @default.
- W4287831404 cites W2980847278 @default.
- W4287831404 cites W3021353747 @default.
- W4287831404 cites W3121508937 @default.
- W4287831404 cites W3121954329 @default.
- W4287831404 cites W3122215347 @default.
- W4287831404 cites W3122244089 @default.
- W4287831404 cites W3122311863 @default.
- W4287831404 cites W3122516690 @default.
- W4287831404 cites W3122909691 @default.
- W4287831404 cites W3123636723 @default.
- W4287831404 cites W3123639445 @default.
- W4287831404 cites W3123912718 @default.
- W4287831404 cites W3124228043 @default.
- W4287831404 cites W3124476761 @default.
- W4287831404 cites W3125209868 @default.
- W4287831404 cites W3125824037 @default.
- W4287831404 cites W3159930119 @default.
- W4287831404 cites W3216651525 @default.
- W4287831404 cites W4230576380 @default.
- W4287831404 cites W4237239309 @default.
- W4287831404 cites W4253208548 @default.
- W4287831404 doi "https://doi.org/10.1016/j.jempfin.2022.07.002" @default.
- W4287831404 hasPublicationYear "2022" @default.
- W4287831404 type Work @default.
- W4287831404 citedByCount "1" @default.
- W4287831404 countsByYear W42878314042023 @default.
- W4287831404 crossrefType "journal-article" @default.
- W4287831404 hasAuthorship W4287831404A5022713656 @default.
- W4287831404 hasAuthorship W4287831404A5034041778 @default.
- W4287831404 hasAuthorship W4287831404A5079235766 @default.
- W4287831404 hasConcept C105795698 @default.
- W4287831404 hasConcept C107673813 @default.
- W4287831404 hasConcept C10879293 @default.
- W4287831404 hasConcept C121332964 @default.
- W4287831404 hasConcept C149782125 @default.
- W4287831404 hasConcept C162324750 @default.
- W4287831404 hasConcept C163716315 @default.
- W4287831404 hasConcept C181236170 @default.
- W4287831404 hasConcept C185592680 @default.
- W4287831404 hasConcept C198531522 @default.
- W4287831404 hasConcept C33923547 @default.
- W4287831404 hasConcept C41008148 @default.
- W4287831404 hasConcept C43617362 @default.
- W4287831404 hasConcept C62520636 @default.
- W4287831404 hasConceptScore W4287831404C105795698 @default.
- W4287831404 hasConceptScore W4287831404C107673813 @default.
- W4287831404 hasConceptScore W4287831404C10879293 @default.
- W4287831404 hasConceptScore W4287831404C121332964 @default.
- W4287831404 hasConceptScore W4287831404C149782125 @default.
- W4287831404 hasConceptScore W4287831404C162324750 @default.
- W4287831404 hasConceptScore W4287831404C163716315 @default.
- W4287831404 hasConceptScore W4287831404C181236170 @default.
- W4287831404 hasConceptScore W4287831404C185592680 @default.
- W4287831404 hasConceptScore W4287831404C198531522 @default.
- W4287831404 hasConceptScore W4287831404C33923547 @default.
- W4287831404 hasConceptScore W4287831404C41008148 @default.
- W4287831404 hasConceptScore W4287831404C43617362 @default.
- W4287831404 hasConceptScore W4287831404C62520636 @default.
- W4287831404 hasFunder F4320322841 @default.
- W4287831404 hasLocation W42878314041 @default.
- W4287831404 hasOpenAccess W4287831404 @default.
- W4287831404 hasPrimaryLocation W42878314041 @default.
- W4287831404 hasRelatedWork W1570866209 @default.
- W4287831404 hasRelatedWork W2046381762 @default.
- W4287831404 hasRelatedWork W2146921802 @default.
- W4287831404 hasRelatedWork W2777026854 @default.
- W4287831404 hasRelatedWork W2910284241 @default.