The battle of factors

Kodjovi Assoe, Najah Attig and Oumar Sy

Global Finance Journal, 2024, vol. 62, issue C

Abstract: This study delves into the battle of factors in Canadian capital markets, employing spanning tests to evaluate 17 factors from ten multifactor models for 1991–2022. While the value factor (HML) proves redundant, its monthly updated counterpart excels. The size factor (SMB) is not improved by discounting mispriced stocks but gains potency after controlling for profitability and investment. Q-based and mispricing factors subsume the momentum factor (UMD). No single asset-pricing model emerges dominant, except in three instances. A six-factor model including market, size, monthly updated value, ROE, expected growth, and PEAD factors proves effective for asset pricing in Canadian markets.

Keywords: Factors spanning tests; Canadian stock markets; Multifactor asset-pricing models (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000760

DOI: 10.1016/j.gfj.2024.101004

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