Using Bayesian variable selection methods to choose style factors in global stock return models
AbstractThis paper applies Bayesian variable selection methods from the statistics literature to give guidance in the decision to include/omit factors in a global (linear factor) stock return model. Once one has accounted for country and sector, it is possible to see which style or styles best explains current asset returns. The study suggests that global style is not an important component once country and sector have been accounted for.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 26 (2002)
Issue (Month): 12 ()
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Web page: http://www.elsevier.com/locate/jbf
Other versions of this item:
- Anthony Hall & Soosung Hwang & Stephen E. Satchell, 2000. "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models," Econometric Society World Congress 2000 Contributed Papers 1213, Econometric Society.
- Stephen Satchell & Soosung Hwang & Anthony Hall, 1999. "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models," Working Papers wp99-01, Warwick Business School, Finance Group.
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