Identifying Portfolio-Based Systematic Risk Factors in Equity Markets
Posted: 6 Nov 2015 Last revised: 10 Feb 2016
Date Written: November 4, 2015
Four new prominent asset pricing factors have recently been proposed. We test whether these factors fulfill necessary conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations.
Keywords: asset pricing model, betting-against-beta factor, quality factor, investment factor, profitability factor
JEL Classification: G12, G14
Suggested Citation: Suggested Citation