因素之争

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal Pub Date : 2024-06-13 DOI:10.1016/j.gfj.2024.101004

Kodjovi Assoe , Najah Attig , Oumar Sy

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引用次数: 0

摘要

本研究深入探讨了加拿大资本市场的因子之争，采用跨度测试评估了 1991-2022 年十个多因子模型中的 17 个因子。虽然价值因子（HML）被证明是多余的，但其每月更新的对应因子却表现出色。规模因子（SMB）并没有因为对错误定价股票进行贴现而得到改善，但在控制了盈利能力和投资之后，规模因子的作用得到了增强。基于 Q 值的因子和错误定价因子取代了动量因子（UMD）。除三种情况外，没有一种资产定价模型占据主导地位。包括市场、规模、月度更新价值、投资回报率、预期增长和 PEAD 因素在内的六要素模型被证明对加拿大市场的资产定价有效。

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The battle of factors

This study delves into the battle of factors in Canadian capital markets, employing spanning tests to evaluate 17 factors from ten multifactor models for 1991–2022. While the value factor (HML) proves redundant, its monthly updated counterpart excels. The size factor (SMB) is not improved by discounting mispriced stocks but gains potency after controlling for profitability and investment. Q-based and mispricing factors subsume the momentum factor (UMD). No single asset-pricing model emerges dominant, except in three instances. A six-factor model including market, size, monthly updated value, ROE, expected growth, and PEAD factors proves effective for asset pricing in Canadian markets.

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来源期刊

Global Finance Journal BUSINESS, FINANCE-

CiteScore

7.30

自引率

13.50%

发文量

106

审稿时长

53 days

期刊介绍： Global Finance Journal provides a forum for the exchange of ideas and techniques among academicians and practitioners and, thereby, advances applied research in global financial management. Global Finance Journal publishes original, creative, scholarly research that integrates theory and practice and addresses a readership in both business and academia. Articles reflecting pragmatic research are sought in areas such as financial management, investment, banking and financial services, accounting, and taxation. Global Finance Journal welcomes contributions from scholars in both the business and academic community and encourages collaborative research from this broad base worldwide.