Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return
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. This study does not find compelling evidence for global styles, once country and sector have been accounted for.
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Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 31.
Date of creation: 01 Mar 2000
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