We propose a formal statistical test to compare asset-pricing models in the presence of price impact. In contrast to the case without trading costs, we show that in the presence of price-impact costs different models may be best at spanning the investment opportunities of different investors depending on their absolute risk aversion. Empirically, we find that the five-factor model of Hou et al. (2021), the six-factor model of Fama and French (2018) with cash-based operating profitability, and a high-dimensional model are best at spanning the investment opportunities of investors with high, medium, and low absolute risk aversion, respectively.

中文翻译：

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比较因子模型与价格影响成本


我们提出了一个正式的统计测试，以比较存在价格影响的资产定价模型。与没有交易成本的情况相反，我们表明，在存在价格影响成本的情况下，不同的模型可能最擅长跨越不同投资者的投资机会，具体取决于他们的绝对风险厌恶。实证研究发现，Hou et al. （2021） 的五因素模型、Fama 和 French （2018） 的基于现金的经营盈利能力的六因素模型以及高维模型分别最擅长跨越绝对避险情绪高、中、低的投资者的投资机会。