We revisit the framework of Barillas and Shanken (2018) (BS henceforth) to point out that the Bayesian marginal likelihood based model comparison method in that paper is unsound. We show that in this comparison of asset pricing models, the priors on the nuisance parameters across models must...

We make a case that characteristics-based long-short factors should be constructed by the slope factor method rather than by sorting methods. This is because sorting does not fully control for the influence of omitted characteristics, rendering them more noisy than slope factors. In contrast,...