Model comparison with squared sharpe ratios of mimicking portfolios
|dc.description.abstract||There are various asset pricing models proposed in the field of finance by using different traded and non-traded factors. In this paper, a variety of statistical methodologies are introduced for comparisons based on differences between squared Sharpe ratios of such models. Especially, in order to compare mimicking portfolios with non-traded factors, different computations are used for squared Sharpe ratios defined by whether two or more models are nested or non-nested. For empirical analysis, five asset pricing models with traded factors are used; Fama-French 3 factor model by Fama and French (1992), Fama-French 5 factor model by Fama and French (2017), Fama-French models with a momentum factor by Jegadeesh and Titman (1993), and Carhart (1997), and the betting against beta model by Frazzini and Pedersen (2014). For mimicking portfolios, four different non-traded factors, which are proxies for consumption, are compared with those five models.|
|dc.title||Model comparison with squared sharpe ratios of mimicking portfolios|
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