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http://hdl.handle.net/10419/56249
  

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dc.contributor.authorEricsson, Johanen_US
dc.contributor.authorKarlsson, Suneen_US
dc.date.accessioned2012-03-28T13:07:36Z-
dc.date.available2012-03-28T13:07:36Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/56249-
dc.description.abstractWe use Bayesian techniques to select factors in a general multifactor asset pricing model. From a given set of 15 factors we evaluate all possible pricing models by the extent to which they describe the data as given by the posterior model probabilities. Interest rates, premiums, returns on broadbased portfolios and macroeconomic variables are included in the set of considered factors. Using different portfolios as the investment universe we find strong evidence that a general multifactor pricing model should include market excess return, size premium, value premium and the momentum factor. There is some evidence that yearly growth rate in industrial production and term spread also are important factors.en_US
dc.language.isoengen_US
dc.publisherEkonomiska Forskningsinst. Stockholmen_US
dc.relation.ispartofseriesSSE/EFI Working Paper Series in Economics and Finance 524en_US
dc.subject.jelC11en_US
dc.subject.jelC52en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordasset pricingen_US
dc.subject.keywordfactor modelsen_US
dc.subject.keywordBayesian model selectionen_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwBayes-Statistiken_US
dc.titleChoosing factors in a multifactor asset pricing model: A Bayesian approachen_US
dc.typeWorking Paperen_US
dc.identifier.ppn362315744en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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