New Evidence on Conditional Factor Models

Ilan Cooper, Paulo Maio

Research output: Contribution to journalArticlepeer-review


We estimate conditional multifactor models over a large cross section of stock returns matching 25 CAPM anomalies. Using conditioning information associated with different instruments improves the performance of the Hou, Xue, and Zhang (HXZ) (2015) and Fama and French (FF) (2015), (2016) models. The largest increase in performance holds for momentum, investment, and intangibles-based anomalies. Yet, there are significant differences in the performance of scaled models: HXZ clearly dominates FF in explaining momentum and profitability anomalies, while the converse holds for value-growth anomalies. Thus, the asset pricing implications of alternative investment and profitability factors (in a conditional setting) differ in a nontrivial way.

Original languageEnglish
Pages (from-to)1975-2016
Number of pages42
JournalJournal of Financial and Quantitative Analysis
Issue number5
StatePublished - 1 Oct 2019
Externally publishedYes

Bibliographical note

Publisher Copyright:
Copyright © Michael G. Foster School of Business, University of Washington 2018.

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


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