000			01296nam a22001817a 4500
008			190322b xxu||||| |||| 00| 0 eng d
022			_a0304-405X
245			_aChoosing factors / by Eugene F. Fama, & Kenneth R. French _cEugene F. Fama, Kenneth R. French
260			_aAmsterdam _bElsevier _cMay 2018
300			_aPages 234-252
440			_aJournal of Financial Economics _v128 (2) _x0304-405X
500			_aAbstract 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.
690			_aAsset pricing tests
690			_aFactor model
690			_aSharpe ratio
690			_aMax squared Sharpe ratio
942			_2lcc _cSE
999			_c361351 _d361351