Download or read book A Comparison of Factor Models for Explaining the Cross Section of Stock Returns written by Yong Wang and published by . This book was released on 2005 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We run a horse race among eight proposed factors and eight proposed conditioning variables for explaining the cross section of stock returns. The purpose is to better understand which factors, in combination with which conditioning variables, seem robust in explaining cross-sectional data, and to seek an economic interpretation of the specifications that appear most promising. We find that a consumption growth factor, conditioning on lagged business income growth, is the most successful in explaining cross sectional variation of average quarterly returns in the 25 Fama-French portfolios.