Comparing Asset Pricing Models

355 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Understanding Systematic Risk: A High‐Frequency Approach (2020, unknown): “33My focus on Sharpe ratios is motivated by Barillas and Shanken (2018), who show that a Sharpe ratio criterion can compare asset pricing performance of factors regardless of the test assets.”
Taming the Factor Zoo: A Test of New Factors (2019, unknown): “…course, existing literature has routinely attempted to evaluate the contribution of new factors relative to some benchmark model, typically by estimating and testing the alpha of a regression of the new factor on existing factors (e.g., Barillas and Shanken (2018) and Fama and French (2018)).”
Model Comparison with Sharpe Ratios (2019, background): “Barillas and Shanken (2018) build on this observation and develop a Bayesian procedure that permits the simultaneous calculation of probabilities for all models derived from a given set of factors.”
An Augmented q-Factor Model with Expected Growth* (2020, unknown): “Barillas and Shanken (2018) conduct Bayesian tests with only 11 factors and down-”
Size and value in China (2019, unknown): “Another approach to making this model comparison is Bayesian, proposed by Barillas and Shanken (2018) and also applied by Stambaugh and Yuan (2017) . This approach compares factor models in terms of posterior model probabilities across a range of prior distributions. Consistent with the above result”