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 InfoPaper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1213.
Date of creation: 01 Aug 2000
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Other versions of this item:
- Hall, Anthony D. & Hwang, Soosung & Satchell, Stephen E., 2002. "Using Bayesian variable selection methods to choose style factors in global stock return models," Journal of Banking & Finance, Elsevier, vol. 26(12), pages 2301-2325.
- 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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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