ABSTRACT A Bayesian asset pricing test is derived that is easily computed in closed form
from the standard F‐statistic. Given a set of candidate traded factors, we develop a related …

A common approach to comparing asset pricing models involves a competition in pricing
test-asset returns. In contrast, we show that for models with traded factors, when the …

In the G7 countries, the short-horizon performance of aggregate return predictors such as
the dividend yield and the short rate appears non-existent during business cycle expansions …

This article develops an asset allocation framework that incorporates prior beliefs about the
extent of stock return predictability explained by asset pricing models. We find that when …

This paper develops a comprehensive framework to address uncertainty about the correct
factor model. Asset pricing inferences draw on a composite model that integrates over …

A key question for understanding the cross-section of expected returns of equities is the
following: which factors, from a given collection of factors, are risk factors, equivalently …

Starting from twelve distinct factors from the recent literature, plus twelve principal
components (PCs) of anomalies unexplained by the initial factors, a Bayesian comparison of …

Aircraft valuation and the projection of its future price is an intricate process. This paper
provides a comprehensive review of aircraft valuation. It presents a methodology that will …

We analyze a new class of linear factor models in which the factors are latent and the
covariance matrix of excess returns follows a multivariate stochastic volatility process. We …

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 …