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- W4367840271 abstract "We examine which factor model best captures systematic return covariation by focusing on the economic implications for portfolio risk control. The pairwise variance equality test and the model confidence set procedure suggest that the Fama and French (2015) five-factor model, the Barillas and Shanken (2018) six-factor model, and the Fama and French (2018) six-factor model are the top performers for the factor model-implied minimum risk portfolios in the out-of-sample. When it comes to the minimum tracking error portfolios, the Barillas and Shanken (2018) six-factor model and the Fama and French (2018) six-factor model are the overall winners in the horse race." @default.
- W4367840271 created "2023-05-04" @default.
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- W4367840271 date "2023-09-01" @default.
- W4367840271 modified "2023-09-27" @default.
- W4367840271 title "Which factor model? A systematic return covariation perspective" @default.
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- W4367840271 doi "https://doi.org/10.1016/j.jimonfin.2023.102865" @default.
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