Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models

Anthony Hall, Soosung Hwang () and Stephen E. Satchell
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Stephen E. Satchell: Trinity College

No 1213, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: This paper applies Bayesian variable selection methods from the statistics literature to give guidance in the decision to include/omit factors in a global (linear factor) stock return model. Once one has accounted for country and sector, it is possible to see which style or styles best explains current asset returns. The study suggests that global style is not an important component once country and sector have been accounted for.

Date: 2000-08-01
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Related works:
Journal Article: Using Bayesian variable selection methods to choose style factors in global stock return models (2002)
Working Paper: Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models (2000)
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