Impacts of Frictions on Factor Models of Stock Returns
March 31, 2021 - Equity Premium
How much does accounting for equity factor portfolio maintenance frictions affect usefulness of factor models of stock returns. In their March 2021 paper entitled “Model Selection with Transaction Costs”, Andrew Detzel, Robert Novy-Marx and Mihail Velikov examine effects of transaction costs on six leading models of stock returns: FF5 – Fama-French 5-factor model (market, size,… Keep Reading