Super Model?
November 22, 2023 - Equity Premium
Is there a clearly superior multi-factor model of next-month stock returns? In the November 2023 revision of their paper entitled “A Quantum Leap in Asset Pricing: Explaining Anomalous Returns”, James Kolari, Jianhua Huang, Wei Liu and Huiling Liao compare abilities of the following eight multi-factor models of stock returns to explain 133 stubbornly persistent stock… Keep Reading