エモリー大のFrancisco BarillasとJay Shankenが、11/13エントリで紹介した論文の続編とでも言うべき表題のNBER論文を上げている（原題は「Comparing Asset Pricing Models」；SSRN版）。
以下はその要旨。
A Bayesian asset-pricing test is derived that is easily computed in closed-form from the standard F-statistic. Given a set of candidate traded factors, we develop a related test procedure that permits an analysis of model comparison, i.e., the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the recent models of Hou, Xue and Zhang (2015a,b) and Fama and French (2015a,b) are both dominated by five and six-factor models that include a momentum factor, along with value and profitability factors that are updated monthly.
（拙訳）
本研究では、標準的なF統計量から閉形式で簡単に計算できるベイズ的な資産価格モデルの検定法を導出した。所与の取引ファクター*1の候補を基にモデル比較分析ができる検定手続きを我々は開発した。その手続きでは、所与のファクターの部分集合に基づく可能なすべての価格モデルの集合についてモデル確率を計算する。我々は、Hoe＝Xue＝Zhang（2015a,b）やファーマ＝フレンチ（2015a,b）の最近のモデルはいずれも、モメンタムファクターおよび月次で更新されるバリューならびに利益性ファクターを含む5ないし6ファクターモデルに比べ劣後することを見い出した。
*1:SSRN版の本文には以下の記述がある：
Like other asset pricing analyses based on alphas, we require that the benchmark factors are traded portfolio excess returns or return spreads. For example, in addition to the market excess return, Mkt, the influential three-factor model of Fama and French (1993), hereafter, FF3, includes a book-to-market or “value” factor HML (high-low) and a size factor, SMB (small-big) based on stock-market capitalization. Although consumption growth and intertemporal hedge factors are not traded, one can always substitute (maximally correlated) mimicking portfolios for the non-traded factors. While this introduces additional estimation issues, simple spreadportfolio factors are often viewed as proxies for the relevant mimicking portfolios, e.g., Fama and French (1996).
