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dc.contributor.authorWang, Ziwen
dc.date.accessioned2019-08-07T13:09:16Z
dc.date.available2019-08-07T13:09:16Z
dc.identifier.urihttp://hdl.handle.net/10464/14409
dc.description.abstractThis thesis compares the performance of ten well-known asset-pricing models for cross-sectional returns of various portfolios from January 1967 to December 2016. We rely on the distance-based metrics as the primary performance measure and use quantile regressions to compare models at a wide range of quantiles of the asset return distribution. The model performance is examined from both statistical and economic perspectives. We find that the Fama and French (2018) six-factor model reliably outperforms other competing models in pricing the selected portfolios. In particular, both the momentum factor and the value factor are necessary in asset-pricing models to explain the return variations in different quantiles. We also find that the performance of Barilla and Shanken (2018) six-factor model exhibits strong explanatory power in medium to high quantiles, despite some existing findings that their model performs poorly in OLS regressions. Overall, we show that the distance-based metrics coupled with quantile regressions provide a consistent and robust model-comparison methodology that largely enhances the existing OLS-based statistical measures.en_US
dc.language.isoengen_US
dc.publisherBrock Universityen_US
dc.subjectMulti-factor Asset Pricing Models, Quantile Regressions, Distance-Based Metricsen_US
dc.titleCOMPARING ASSET PRICING MODELS USING QUANTILE REGRESSIONS FOR DISTANCE-BASED METRICSen_US
dc.typeElectronic Thesis or Dissertationen_US
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US
refterms.dateFOA2021-08-18T01:24:20Z


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