Research Article
Taming the Factor Zoo: New Evidence from China
Table 5
Comparison of models in explaining anomalies. This table reports some statistics derived from using various factor models to explain 104 anomalies. We display results of the Fama–French 6-factor model [10], the Hou–Xue–Zhang q5-factor model [2], the Stambaugh–Yuan 4-factor model [21], the Daniel–Hirshleifer–Sun 3-factor model [22], and the Liu–Stambaugh–Yuan 4-factor model [15], in columns “FF6,” “Q5,” “SY4,” “DHS3,” and “LSY4,” respectively. Average alpha and Average t are the absolute mean of alphas and corresponding t-statistics over 104 anomalies. ∆ is the cross-sectional pricing error with respect to each model, which is computed as formula (1). GRS is the statistic of well-known GRS test proposed by Shanken et al. [24].
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