IDEAS home Printed from https://ideas.repec.org/a/cuf/journl/y2024v25i2li.html
   My bibliography  Save this article

A Factor Model Comparison

Author

Listed:
  • Yuming Li

    (Department of Finance, College of Business and Economics, California State University)

Abstract

Recently, various models have been proposed to explain the cross section of returns in the U.S. stock markets. I present a comparison of a microcap-based factor model with other competing models. I find that the microcap factors mostly explain factors in other models, especially the models of Fama and French (2015, 2016), but not vice versa. In contrast, all-size investment and profitability factors do not perform well in explaining the microcap return spreads. In addition, I find that it is necessary to include multiple characteristics in constructing microcap factors, in order to better explain the microcap return spreads.

Suggested Citation

  • Yuming Li, 2024. "A Factor Model Comparison," Annals of Economics and Finance, Society for AEF, vol. 25(2), pages 663-674, November.
    • Handle: RePEc:cuf:journl:y:2024:v:25:i:2:li
    as

    Download full text from publisher

    File URL: http://down.aefweb.net/AefArticles/aef250209Li.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Microcaps; Factor models; Investment; Profitability;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cuf:journl:y:2024:v:25:i:2:li. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Qiang Gao (email available below). General contact details of provider: https://edirc.repec.org/data/emcufcn.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.