Journal of Banking & Finance Vol. 26 No. 12 2002
Using Bayesian variable selection methods to choose style factors in global stock return models
Abstract
This paper investigates the presence of global style factors in global equity investment. To this end, we apply 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 we have 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 as useful explanatory factors in a fixed parameter regression model, once country and sector have been accounted for.
- DOI
- 10.1016/s0378-4266(01)00205-9
- Volume
- 26
- Issue
- 12
- Pages
- 2301-2325
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib