Type of Publication: Article in Journal

International factor models

Author(s):

Huber, Daniel; Jacobs, Heiko; Müller, Sebastian; Preissler, Fabian

Title of Journal:

Journal of Banking and Finance

Volume (Publication Date):

2023 (2023)

Number of Issue:

150

Digital Object Identifier (DOI):

doi:10.1016/j.jbankfin.2023.106819

Link to complete version:

https://www.sciencedirect.com/science/article/abs/pii/S0378426623000444?via%3Dihub

Citation:

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Abstract

Abstract

We evaluate the relative and absolute performance of competing factor-based asset pricing models in international regions and globally. Our holistic analysis controls for model transaction costs and incorporates both right-hand-side tests (based on maximum squared Sharpe ratios) and left-hand-side tests (individual return predictors, composite mispricing proxies). The overall view of the tests shows that recently proposed models tend to perform better than classical models, but otherwise perform comparably. This finding, the performance of the models in some of the LHS tests as well as further results collectively suggest the need for new powerful asset pricing models for global equity markets.