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Using Bayesian variable selection methods to choose style factors in global stock return models

By Anthony D. Hall, Soosung Hwang and S. (Stephen) Satchell

Abstract

This paper applies Bayesian variable selection methods from the statistics literature to\ud give guidance in the decision to include/omit factors in a global (linear factor) stock\ud return model. Once one has accounted for country and sector, it is possible to see which\ud style or styles best explains current asset returns. This study does not find compelling\ud evidence for global styles as useful explanatory factors, once country and sector have\ud been accounted for

Topics: HG, QA
Publisher: Warwick Business School Financial Econometrics Research Centre
Year: 2000
OAI identifier: oai:wrap.warwick.ac.uk:1847

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