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

Anthony Hall, Soosung Hwang () and Steve Satchell
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Steve Satchell: University of Cambridge

No 31, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

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. This study does not find compelling evidence for global styles, once country and sector have been accounted for.

Pages: 31 pages
Date: 2000-03-01
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Citations: View citations in EconPapers (9)

Published as: Hall, A. D., Hwang, S. and Satchell, S. E., 2002, "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models", Journal of Banking and Finance, 26(12), 2301-2325.

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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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