Dynamic Factors and Asset Pricing

doi:10.1017/S0022109010000207

CORC > 上海财经大学 > 上海财经大学

	Dynamic Factors and Asset Pricing
	He, Zhongzhi (Lawrence)1,2; Huh, Sahn-Wook 3; Lee, Bong-Soo 4
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.