[ABE-L] Seminarios de Ciencia de Estatistica e Ciencia de Dados do Insper

[Hedibert Lopes]

*Data Science*









Academic Seminar

*Bayesian Selection of Asset Pricing Factors Using Individual Stocks*

*Speaker:* Alexandre Rubesam
<https://www.ieseg.fr/en/faculty-and-research/professor/?id=2851>
*University:* IESEG School of Management <https://www.ieseg.fr/en/>

We apply Bayesian variable selection to investigate linear factor asset
pricing models for a large set of candidate factors identified in the
literature. We extract model and factor posterior probabilities from
thousands of individual stocks via Markov Chain Monte Carlo estimation
together with the exact distribution of pricing statistics. Our results
show that only a small number of factors are relevant and, except for the
market and size factors, these are not the factors in widely used linear
factor models such as Fama and French (2015, Journal of Financial Economics
116, 1–22) or Hou et al. (2015, The Review of Financial Studies 28,
650–705). Moreover, many different linear factor models achieve similar
empirical performance, suggesting that the search for a single linear
factor model is unlikely to yield a definitive answer.

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February/04/2020

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*12**pm de Sao Paulo, Brazil (UTC/GMT -03:00)*

[image: Ícone Hora]

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Hedibert Freitas Lopes, PhD
Professor of Statistics and Econometrics
INSPER - Institute of Education and Research
Rua Quatá, 300 - São Paulo, SP 04546-042 Brazil
Phone: +55 11 4504-2343
www.hedibert.org
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