Finance

Bayesian probability

Arbitrage pricing theory

Capital asset pricing model

Mathematics

Statistic

Algorithm

Statistics

Variety (cybernetics)

Profitability index

Political science

Econometrics

China

Economics

Consumption-based capital asset pricing model

Zhàng

Computer science

Computation

The Journal of Finance

ABSTRACT A Bayesian asset pricing test is derived that is easily computed in closed form from the standard F ‐statistic. Given a set of candidate traded factors, we develop a related test procedure that permits the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the recent models of Hou, Xue, and Zhang (2015a, 2015b) and Fama and French (2015, 2016) are dominated by a variety of models that include a momentum factor, along with value and profitability factors that are updated monthly.

Comparing Asset Pricing Models