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Using Bayesian variable selection methods to choose style factors in global stock return models

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Hall, Anthony D., Hwang, Soosung and Satchell, S. (Stephen) (2000) Using Bayesian variable selection methods to choose style factors in global stock return models. Working Paper. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.1).

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Official URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfr...

Abstract

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 as useful explanatory factors, once country and sector have
been accounted for.

Item Type:

Working or Discussion Paper (Working Paper)

Subjects:

H Social Sciences > HG Finance
Q Science > QA Mathematics

Divisions:

Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School

Library of Congress Subject Headings (LCSH):

Bayesian statistical decision theory, Stocks -- Rate of return, Options (Finance)

Series Name:

Working Papers Series

Publisher:

Warwick Business School Financial Econometrics Research Centre

Place of Publication:

University of Warwick

Official Date:

12 June 2000

Dates:

Date	Event
12 June 2000	Published

Volume:

Vol.1999

Number:

No.1

Status:

Not Peer Reviewed

Access rights to Published version:

Open Access

Funder:

Institute for Quantitative Investment and Research (Great Britain) (INQUIRE)

References:

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