Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models
This 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.
|Date of creation:||01 Mar 2000|
|Date of revision:|
|Publication status:||Published as: Hall, A. D., Hwang, S. and Satchell, S. E., 2002, "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models", Journal of Banking and Finance, 26(12), 2301-2325.|
|Contact details of provider:|| Postal: |
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.qfrc.uts.edu.au/
More information through EDIRC
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.:
- 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.
- 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.
- 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., .
"Nonparametric Regression using Bayesian Variable Selection,"
Statistics Working Paper
_009, Australian Graduate School of Management.
- Smith, Michael & Kohn, Robert, 1996. "Nonparametric regression using Bayesian variable selection," Journal of Econometrics, Elsevier, vol. 75(2), pages 317-343, December.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
- 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.
When requesting a correction, please mention this item's handle: RePEc:uts:rpaper:31. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford)
If references are entirely missing, you can add them using this form.