This paper considers which factors are worthy of inclusion in asset-pricing models for Australian equity returns at daily and monthly frequencies. We utilise the recently developed methodology of Harvey and Liu (2020) to employ a performance metric specifically designed for model comparison and to conduct statistical inference that accommodates the possibility of data mining. The clear and consistent finding is that the market risk premium is the most important factor. This is the case for both daily and monthly asset-pricing specifications, and irrespective of whether individual stocks or portfolios are used as test assets. There is no compelling evidence that any other factors are useful, implying that a parsimonious model suffices.

中文翻译：

---

评估每日和每月资产定价因素对澳大利亚股票的有用性

本文考虑了哪些因素值得纳入澳大利亚股票每日和每月频率的资产定价模型。我们利用 Harvey 和 Liu (2020) 最近开发的方法来采用专门为模型比较设计的性能指标，并进行统计推断以适应数据挖掘的可能性。明确且一致的发现是，市场风险溢价是最重要的因素。这适用于每日和每月资产定价规范，无论个别股票或投资组合是否被用作测试资产。没有令人信服的证据表明任何其他因素是有用的，这意味着简约模型就足够了。