Earticle

초록

영어

In this study, we develop a dynamic factormodel that incorporates features of price dynamics across assets as well as through time. With the dynamic factors extracted via the Kalman filter, we formulate two testable asset-pricing models: the risk-adjusted pricing model (RAPM) and the bias-adjusted pricing model (BAPM). We then conduct asset-pricing tests in the in-sample context. In addition, we perform out-of-sample tests for competing models, presenting pair-wise comparisons of the accuracy in one-step-ahead forecasts. We provide evidence that the ex post dynamic factors alone do a better job than the Fama-French (FF, 1993) three factors both in-sample and out-ofsample. Our analyses also demonstrate that the ex ante factors are a key component in asset pricing and forecasting. By employing the ex ante factors together with ex post ones, the BAPM further improves upon the explanatory and predictive power achieved by the naive benchmark, the FF 3-factor model, and the RAPM. In particular, the BAPM can even explain and better forecast the momentum portfolio returns, which are mostly missed by the FF 3-factor model.

목차

ABSTRACT
 I. The Dynamic Factor Model
  A. Factor Identification
  B. The Kalman Filter as a Model of Conditional Expectations
 II. Estimation of the Dynamic FactorModel and SpecificationTests
  A. Data and Estimation Methods
  B. Descriptive Statistics and Estimated Parameters
  C. Specification Tests of the Model
  D. Descriptive Statistics and Correlations of the Dynamic Factors
 III. Formulating the Asset-Pricing Tests
 IV. Testing the Risk-Adjusted PricingModel (RAPM)
  A. Time-Series Regressions
  B. Cross-Sectional Regressions
 V. Testing the Bias-Adjusted PricingModel (BAPM)
  A. Time-Series Regressions
  B. Cross-Sectional Regressions
 VI. Robustness Checks
  A. Analysis with an Extended Set of Portfolios
  B. Further Robustness Checks
 VII. Out-of-Sample Tests
 VIII. Conclusion
 References
 Table

저자

• Zhongzhi (Lawrence) He [ Faculty of Business, Brock University, St. Catharines, Ontario, Canada L2S 3A1. ]
• Sahn-Wook Huh [ Faculty of Business, Brock University, St. Catharines, Ontario, Canada L2S 3A1. ]
• Bong-Soo Lee [ College of Business, Florida State University, Tallahassee, Florida 32306, USA ] Corresponding Author.

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• 간행물명

  한국재무학회 학술대회

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  2006~2024

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  KDC 325 DDC 330