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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Warwick Business School, Finance Group in its series Working Papers with number wp99-01.
Date of creation: 1999
Date of revision:
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.
- 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.
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.:
- Eugene F. Fama & Kenneth R. French, 1998.
"Value versus Growth: The International Evidence,"
Journal of Finance,
American Finance Association, vol. 53(6), pages 1975-1999, December.
- Eugene F. Fama & Kenneth R. French, . "Value versus Growth: The International Evidence," CRSP working papers 341, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Eugene F. Fama & Kenneth R. French, . "Value Versus Growth: The International Evidence," CRSP working papers 449, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Smith, M. & Kohn, R., 1998.
"Nonparametric Seemingly Unrelated Regression,"
Monash Econometrics and Business Statistics Working Papers
7/98, Monash University, Department of Econometrics and Business Statistics.
- Lehmann, Bruce N. & Modest, David M., 1988. "The empirical foundations of the arbitrage pricing theory," Journal of Financial Economics, Elsevier, vol. 21(2), pages 213-254, September.
- Kuo, G. W. & Satchell, S. E., 1998. "Global Equity Styles and Industry Effects: Portfolio Construction via Dummy Variables," Cambridge Working Papers in Economics 9807, Faculty of Economics, University of Cambridge.
- Huberman, Gur & Kandel, Shmuel & Stambaugh, Robert F, 1987. " Mimicking Portfolios and Exact Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 42(1), pages 1-9, March.
- Smith, Michael & Kohn, Robert, 1996.
"Nonparametric regression using Bayesian variable selection,"
Journal of Econometrics,
Elsevier, vol. 75(2), pages 317-343, December.
- Smith, M. & Kohn, R., . "Nonparametric Regression using Bayesian Variable Selection," Statistics Working Paper _009, Australian Graduate School of Management.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
- Christian Pedersen & Stephen Satchell, 2003. "Can NN-algorithms and macroeconomic data improve OLS industry returns forecasts?," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 273-289.
- Reiner Franke, 2008. "A Short Note on the Problematic Concept of Excess Demand in Asset Pricing Models with Mean-Variance Optimization," Working Papers wp08-02, Warwick Business School, Finance Group.
- Soosung Hwang & Steve Satchell, 2005.
"GARCH model with cross-sectional volatility: GARCHX models,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 15(3), pages 203-216.
- Steve Satchell & Soosung Hwang, 2001. "GARCH Model with Cross-sectional Volatility; GARCHX Models," Working Papers wp01-16, Warwick Business School, Finance Group.
- emmanuel, mamatzakis & george, christodoulakis, 2010.
"Return Attribution Analysis of the UK Insurance Portfolios,"
22516, University Library of Munich, Germany.
- G. Christodoulakis & E. Mamatzakis, 2010. "Return attribution analysis of the UK insurance portfolios," Annals of Finance, Springer, vol. 6(3), pages 405-420, July.
- Ericsson, Johan & Karlsson, Sune, 2003. "Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach," Working Paper Series in Economics and Finance 524, Stockholm School of Economics, revised 12 Feb 2004.
- Giacomo Raffaelli & Matteo Marsili, 2006. "Risk bubbles and market instability," Working Papers wp06-22, Warwick Business School, Finance Group.
- Soosung Hwang & Steve Satchell, 2005. "Valuing information using utility functions: how much should we pay for linear factor models?," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 1-16.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rong Leng).
If references are entirely missing, you can add them using this form.