US efficient factors in a Bayesian model scan framework

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dc.contributor.authorO'Connell, Michaelen
dc.date.accessioned2024-02-21T16:37:12Z
dc.date.available2024-02-21T16:37:12Z
dc.date.issued2024-01-15en
dc.description.abstractPurpose: The author examines the impact these efficient factors have on factor model comparison tests in US returns using the Bayesian model scan approach of Chib et al. (2020), and Chib et al.(2022). Design/methodology/approach: Ehsani and Linnainmaa (2022) show that time-series efficient investment factors in US stock returns span and earn 40% higher Sharpe ratios than the original factors. Findings: The author shows that the optimal asset pricing model is an eight-factor model which contains efficient versions of the market factor, value factor (HML) and long-horizon behavioral factor (FIN). The findings show that efficient factors enhance the performance of US factor model performance. The top performing asset pricing model does not change in recent data. Originality/value: The author is the only one to examine if the efficient factors developed by Ehsani and Linnainmaa (2022) have an impact on model comparison tests in US stock returns.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationO'Connell, M. (2024) 'US efficient factors in a Bayesian model scan framework', Journal of Economic Studies. doi: https://doi.org/10.1108/jes-07-2023-0379en
dc.identifier.doihttps://doi.org/10.1108/jes-07-2023-0379en
dc.identifier.issn0144-3585en
dc.identifier.journaltitleJournal of Economic Studiesen
dc.identifier.urihttps://hdl.handle.net/10468/15572
dc.language.isoenen
dc.publisherEmerald Publishing Ltd.en
dc.rights© 2024, Emerald Publishing Limited. This accepted version is made available under the Creative Commons Attribution-NonCommercial 4.0 International licence.en
dc.rights.urihttps://creativecommons.org/licenses/by-nc/4.0/en
dc.subjectBayesian analysisen
dc.subjectModel scanen
dc.subjectFactor modelsen
dc.titleUS efficient factors in a Bayesian model scan frameworken
dc.typeArticle (peer-reviewed)en
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