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dc.contributor.authorEricsson, Johanen
dc.contributor.authorKarlsson, Suneen
dc.date.accessioned2012-03-28T13:07:36Z-
dc.date.available2012-03-28T13:07:36Z-
dc.date.issued2003-
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
dc.language.isoengen
dc.publisher|aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholmen
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x524en
dc.subject.jelC11en
dc.subject.jelC52en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordasset pricingen
dc.subject.keywordfactor modelsen
dc.subject.keywordBayesian model selectionen
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwBayes-Statistiken
dc.titleChoosing factors in a multifactor asset pricing model: A Bayesian approach-
dc.typeWorking Paperen
dc.identifier.ppn362315744en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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