Selecting and Testing Asset-Pricing Models: A Stepwise Approach¶
Bibliographic record. Follow the original-source link for the publication.
| Field | Value |
|---|---|
| Primary domain | Financial Model Validation |
| Other domains | — |
| Methods | Research Methods |
| Facets | — |
| Authors | Guanhao Feng, Wei Lan, Hansheng Wang, Jun Zhang |
| Published | 2026-06-02 |
| Source | Management Science |
| Identifiers | doi:10.1287/mnsc.2024.07804 |
| URL | Open original source |
Editorial synthesis¶
Why it matters¶
Factor selection should examine pricing gaps in excluded candidates as well as fit to test assets. (abstract:S1, abstract:S2)
Main author claims¶
- The authors add or remove factors stepwise and test assets alongside excluded factors; their abstract reports non-rejection of an eight-factor model. (
abstract:S2,abstract:S3,abstract:S5)
Data, method, or discussion scope¶
Abstract-only review of mean-variance model selection; full sample and implementation details were not examined. (abstract:S2, abstract:S4, abstract:S5)
Main limitations¶
Non-rejection is not proof of truth. Full-text assumptions, selection inference and results remain unchecked; profitability is not established. (abstract:S4, abstract:S5)