Author(s)

Shiqi Wang

Corresponding Author

Shiqi Wang

ABSTRACT

Global factors today matter in the age of globalization and the associated integrated global capital markets. In this paper, we use the GRS test and the Sharpe ratio approach of Barillas et al. (2019) to compare the global versions of ten prominent traded-factor models. We find that the best performing models are the three six-factor models of Fama and French (2018) and Aseness et al. (2015), which all include market excess return, size, value, investment, profitability, and momentum factors. This paper contributes to the literature by comparing more models based on the Sharpe ratio tests that provide more economic significance.

KEYWORDS

Sharpe ratio test, factor model, model comparison