סמינר במימון חשבונאות

Paulo Maio )Hanken School of Economics)

Abstract: I estimate conditional multifactor models over a large cross-section of stock returns associated with 25 CAPM anomalies. The four-factor model of Hou, Xue, and Zhang (2015a, 2015b) clearly outperforms the competing models in pricing the extreme portfolio deciles and the cross-sectional dispersion in equity risk premia. Yet, the five-factor model of Fama and French (2015, 2016) outperforms in pricing the intermediate deciles. Therefore, the asset pricing implications of the different versions of the investment and profitability factors are quite different for a large cross-section of stock returns. The HML factor is largely redundant within the five-factor model when using conditioning information.

The paper will be  available from the finance-accounting seminar website:

https://en-recanati.tau.ac.il/Finance-Accounting-Seminars