We investigate the relative risk of value to growth using a model that considers time-variation in investors' risk preferences and return distributions. In this model, three well-known conventional equilibrium risk measures are allowed to regime-switch over time; beta, downside beta, and higher...

We study the question of which asset pricing factors should be included in linear factor asset pricing model. We develop a simple multivariate extension of a Bayesian variable selection procedure from the statistics literature to estimate posterior probabilities of asset pricing factors using...

We propose a Bayesian variable selection method to explore the space of possible factor models for alarge set of candidate factors identified in the asset pricing literature. Using thousands of individualstocks, we identify several parsimonious models which perform at least as well, and in some...

We investigate the factor exposure of smart beta ETFs under model uncertainty using Bayesian variable selection. We find that smart beta ETFs have exposures to several factors, including size, value, momentum, quality, volatility/low beta, and dividend yield. The average return contribution of...

We investigate asset returns using the concept of beta herding, which measures cross-sectional variations in betas induced by investors whose beliefs about the market are biased due to changes in confidence or sentiment. Overconfidence or optimistic sentiment causes beta herding (compression of...