| Tekijä: | Hall, A. D. Hwang, S. Satchell, S. E. |
| Otsikko: | Using Bayesian variable selection methods to choose style factors in global stock return models |
| Lehti: | Journal of Banking and Finance
2002 : DEC, VOL. 26:12, p. 2301-2326 |
| Asiasana: | PORTFOLIO SELECTION PORTFOLIO MANAGEMENT MODELS STOCKS |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates the presence of global style factors in global equity investment. To this end, the authors apply Bayesian variable selection methods from the statistics literature to give guidance in the decision t include/omit factors in a global (linear factor) stock return model. Once the authors have 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 in a fixed parameter regression model, once country and sector have been accounted for. The paper provides a substantial list of references on this subject. |
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