Integrating Factor Models

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Standard

Integrating Factor Models. / Voigt, Stefan; Avramov, Doron; Metzker, Lior; Cheng, Si.

I: The Journal of Finance, Bind 78, Nr. 3, 2023, s. 1593-1646.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Voigt, S, Avramov, D, Metzker, L & Cheng, S 2023, 'Integrating Factor Models', The Journal of Finance, bind 78, nr. 3, s. 1593-1646. https://doi.org/10.1111/jofi.13226

APA

Voigt, S., Avramov, D., Metzker, L., & Cheng, S. (2023). Integrating Factor Models. The Journal of Finance, 78(3), 1593-1646. https://doi.org/10.1111/jofi.13226

Vancouver

Voigt S, Avramov D, Metzker L, Cheng S. Integrating Factor Models. The Journal of Finance. 2023;78(3):1593-1646. https://doi.org/10.1111/jofi.13226

Author

Voigt, Stefan ; Avramov, Doron ; Metzker, Lior ; Cheng, Si. / Integrating Factor Models. I: The Journal of Finance. 2023 ; Bind 78, Nr. 3. s. 1593-1646.

Bibtex

@article{5900b5be769347039654611faebec894,
title = "Integrating Factor Models",
abstract = "This paper develops a comprehensive framework to address uncertainty about the correct factor model. Asset pricing inferences draw on a composite model that integrates over competing factor models weighted by posterior probabilities. Evidence shows that unconditional models record near-zero probabilities, while post-earnings announcement drift, quality-minus-junk, and intermediary capital are potent factors in conditional asset pricing. The integrated model tilts away from the subsequently underperforming factors, and delivers robust strategies. Model uncertainty makes equities appear considerably riskier, while model disagreement about expected returns spikes during crash episodes. Disagreement spans all return components involving mispricing, factor loadings, and risk premia.",
author = "Stefan Voigt and Doron Avramov and Lior Metzker and Si Cheng",
year = "2023",
doi = "10.1111/jofi.13226",
language = "English",
volume = "78",
pages = "1593--1646",
journal = "The Journal of Finance",
issn = "0022-1082",
publisher = "Wiley",
number = "3",

}

RIS

TY - JOUR

T1 - Integrating Factor Models

AU - Voigt, Stefan

AU - Avramov, Doron

AU - Metzker, Lior

AU - Cheng, Si

PY - 2023

Y1 - 2023

N2 - This paper develops a comprehensive framework to address uncertainty about the correct factor model. Asset pricing inferences draw on a composite model that integrates over competing factor models weighted by posterior probabilities. Evidence shows that unconditional models record near-zero probabilities, while post-earnings announcement drift, quality-minus-junk, and intermediary capital are potent factors in conditional asset pricing. The integrated model tilts away from the subsequently underperforming factors, and delivers robust strategies. Model uncertainty makes equities appear considerably riskier, while model disagreement about expected returns spikes during crash episodes. Disagreement spans all return components involving mispricing, factor loadings, and risk premia.

AB - This paper develops a comprehensive framework to address uncertainty about the correct factor model. Asset pricing inferences draw on a composite model that integrates over competing factor models weighted by posterior probabilities. Evidence shows that unconditional models record near-zero probabilities, while post-earnings announcement drift, quality-minus-junk, and intermediary capital are potent factors in conditional asset pricing. The integrated model tilts away from the subsequently underperforming factors, and delivers robust strategies. Model uncertainty makes equities appear considerably riskier, while model disagreement about expected returns spikes during crash episodes. Disagreement spans all return components involving mispricing, factor loadings, and risk premia.

U2 - 10.1111/jofi.13226

DO - 10.1111/jofi.13226

M3 - Journal article

VL - 78

SP - 1593

EP - 1646

JO - The Journal of Finance

JF - The Journal of Finance

SN - 0022-1082

IS - 3

ER -

ID: 318816240