TY  - BOOK
TI  - Choosing factors / by Eugene F. Fama,  & Kenneth R. French
SN  - 0304-405X
PY  - 2018///
CY  - Amsterdam
PB  - Elsevier
N1  - Abstract
Our goal is to develop insights about the maximum squared Sharpe ratio for model factors as a metric for ranking asset pricing models. We consider nested and non-nested models. The nested models are the capital asset pricing model, the three-factor model of Fama and French (1993), the five-factor extension in Fama and French (2015), and a six-factor model that adds a momentum factor. The non-nested models examine three issues about factor choice in the six-factor model: (1) cash profitability versus operating profitability as the variable used to construct profitability factors, (2) long-short spread factors versus excess return factors, and (3) factors that use small or big stocks versus factors that use both
ER  -