Xiaming Zeng

Independent

SCHOLARLY PAPERS

3

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547

SSRN CITATIONS
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20

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Scholarly Papers (3)

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1.

On Comparing Asset Pricing Models

Journal of Finance, Forthcoming
Number of pages: 32 Posted: 07 May 2019
Siddhartha Chib, Xiaming Zeng and Lingxiao Zhao
Washington University in St. Louis - John M. Olin Business School, Independent and Peking University HSBC Business School
Downloads 206 (227,381)
Citation 19

Abstract:

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Bayesian model comparison, marginal likelihood, risk factors

2.

Asset Pricing with Slope Factors: Model and Evidence of Outperformance

Number of pages: 61 Posted: 22 Jul 2022
Siddhartha Chib, Yi Chun Lin, Kuntara Pukthuanthong and Xiaming Zeng
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - Department of Economics, University of Missouri, Columbia and Independent
Downloads 200 (233,453)

Abstract:

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factor risk premia; firm level characteristics; marginal likelihood; pricing test; stochastic discount factor; risk factors; out-of-sample sharpe-ratio

3.

Slope Factors Outperform: Evidence from a Large Comparative Study

Number of pages: 60 Posted: 23 Nov 2021 Last Revised: 15 Feb 2023
Siddhartha Chib, Yi Chun Lin, Kuntara Pukthuanthong and Xiaming Zeng
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - Department of Economics, University of Missouri, Columbia and Independent
Downloads 141 (314,111)
Citation 1

Abstract:

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Factor risk premia; firm level characteristics; marginal likelihood; pricing test; stochastic discount factor; risk factors