Using Bayesian variable selection methods to choose style factors in global stock return models
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. Warwick Business School Financial Econometrics Research Centre, University of Warwick.
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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|
|Date:||12 June 2000|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
|Funder:||Institute for Quantitative Investment and Research (Great Britain) (INQUIRE)|
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