Dynamic Factors and Asset Pricing | |
He, Zhongzhi (Lawrence)1,2; Huh, Sahn-Wook3; Lee, Bong-Soo4 | |
刊名 | JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS |
2010-06 | |
卷号 | 45期号:3页码:707-737 |
ISSN号 | 0022-1090 |
DOI | 10.1017/S0022109010000207 |
英文摘要 | This study develops an econometric model that incorporates features of price dynamics across assets as well as through time. With the dynamic factors extracted via the Kalman filter, we formulate an asset pricing model, termed the dynamic factor pricing model (DFPM). We then conduct asset pricing tests in the in-sample and out-of-sample contexts. Our analyses show that the ex ante factors are a key component in asset pricing and forecasting. By using the ex ante factors, the DFPM improves upon the explanatory and predictive power of other competing models, including unconditional and conditional versions of the Fama and French (1993) 3-factor model. In particular, the DFPM can explain and better forecast the momentum portfolio returns, which are mostly missed by alternative models. |
WOS研究方向 | Business & Economics |
语种 | 英语 |
出版者 | UNIV WASHINGTON SCH BUSINESS & ADMINISTRATION |
WOS记录号 | WOS:000281322200007 |
内容类型 | 期刊论文 |
源URL | [http://10.2.47.112/handle/2XS4QKH4/2383] |
专题 | 上海财经大学 |
通讯作者 | He, Zhongzhi (Lawrence) |
作者单位 | 1.Brock Univ, Fac Business, St Catharines, ON L2S 3A1, Canada; 2.Shanghai Univ Finance & Econ, Sch Finance, Shanghai 200433, Peoples R China; 3.SUNY Buffalo, Sch Management, Buffalo, NY 14260 USA; 4.Florida State Univ, Coll Business, Tallahassee, FL 32306 USA |
推荐引用方式 GB/T 7714 | He, Zhongzhi ,Huh, Sahn-Wook,Lee, Bong-Soo. Dynamic Factors and Asset Pricing[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,2010,45(3):707-737. |
APA | He, Zhongzhi ,Huh, Sahn-Wook,&Lee, Bong-Soo.(2010).Dynamic Factors and Asset Pricing.JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,45(3),707-737. |
MLA | He, Zhongzhi ,et al."Dynamic Factors and Asset Pricing".JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS 45.3(2010):707-737. |
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