New Evidence on Conditional Factor Models

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Sammanfattning

We estimate conditional multifactor models over a large cross section of stock returns matching 25 CAPM anomalies. Using conditioning information associated with different instruments improves the performance of the Hou, Xue, and Zhang (HXZ) (2015) and Fama and French (FF) (2015), (2016) models. The largest increase in performance holds for momentum, investment, and intangibles-based anomalies. Yet, there are significant differences in the performance of scaled models: HXZ clearly dominates FF in explaining momentum and profitability anomalies, while the converse holds for value-growth anomalies. Thus, the asset pricing implications of alternative investment and profitability factors (in a conditional setting) differ in a nontrivial way.

OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftJournal of Financial and Quantitative Analysis
Volym54
Utgåva5
Sidor (från-till)1975-2016
Antal sidor42
ISSN0022-1090
DOI
StatusPublicerad - 2019
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

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