Model comparison tests of linear factor models in U.K. stock returns
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DOI: 10.1016/j.frl.2018.05.005
Abstract: This study uses the Bayesian approach of Barillas and Shanken (2018) and the classical approach of Barillas et al. (2018) to conduct model comparison tests of nine linear factor models in U.K. stock returns. The… read more here.
Keywords: linear factor; factor models; models stock; model comparison ... See more keywords