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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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Status:	Not Peer Reviewed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 (Creative Commons)
Funder:	Institute for Quantitative Investment and Research (Great Britain) (INQUIRE)

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