Many recently proposed, seemingly different factor models are closely related. In spanning tests, the q-factor model largely subsumes the Fama-French 5- and 6-factor models, and the q^5 model subsumes the Stambaugh-Yuan 4-factor model. Their “mispricing�? factors are sensitive to the construction procedure, and once replicated via the traditional approach, are close to the q-factors, with correlations of 0.8 and 0.84. Finally, consistent with the investment CAPM, valuation theory predicts a positive relation between the expected investment and the expected return.

中文翻译：

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哪些因素？*

最近提出的许多看似不同的因素模型都密切相关。在跨度测试中，q因子模型主要包含Fama-French 5和6因子模型，而q ^ 5模型包含Stambaugh-Yuan 4因子模型。他们的“定价错误”？因子对构造过程很敏感，一旦通过传统方法复制，就接近q因子，相关系数分别为0.8和0.84。最后，与投资CAPM一致，估值理论预测了预期投资与预期收益之间的正相关关系。