中国金融学术研究网

所属栏目：资本市场/资产定价

Cracking the Code: Bayesian Evaluation of Millions of Factor Models in China

认领作者认领作者管理权限

发布日期：2025年07月07日上次修订日期：2025年07月07日

Yan Qian yanqian124@gmail.com Central University of Finance and Economics Jinzhe Wang 958901948@qq.com Central University of Finance and Economics Lixia Wu cufewlx2017@163.com Central University of Finance and Economics Yifeng Zhu suxian2000@gmail.com Central University of Finance and Economics

摘要

We utilize the Bayesian model scan approach to examine the best performing models in a set of 15 factors discovered in the literature, plus principal components (PCs) of anomalies unexplained by the initial factors in the Chinese A-share market. The Bayesian comparison of approximately eight million models shows that HML, MOM, IA, EG, PEAD, SMB, VMG,PMO, plus the four PCs, PC1, PC6, PC7, PC8 are the best supported specification in terms of marginal likelihoods and posterior model probabilities. We also find that the best model outperforms existing factor models in terms of pricing tests and out-of-sample Sharpe ratio.

展开

关键词：

Bayesian model comparison Factor models Chinese stock market anomaly

下载论文在线阅读

复制链接

新浪微博

微信扫一扫

论文统计数据

浏览次数：
25
下载次数：
0

相关文献

1A Study on the Complexity of Chinese Stock Market 2Has Chinese Stock Market Become Eﬃcient?Evidence from a New Approach 3The Nontradable Share Reform in the Chinese Stock Market 4Tunneling in China: The Remarkable Case of Inter-Corporate Loans 5Attention Is All You Need: An Interpretable Transformer-based Asset Allocation Approach 6The February anomaly in China: The Case of Chinese New Year 7Liquidity, Information Asymmetry, Divergence of Opinion and Asset Returns: Evidence from Chinese Stock market