Failing to account for transaction costs materially impacts inferences drawn when evaluating asset pricing models, biasing tests in favor of those employing high-cost factors. Ignoring transaction costs, Hou, Xue, and Zhang (2015, Review of Financial Studies, 28, 650–705) q-factor model and Barillas and Shanken (2018, The Journal of Finance, 73, 715–754) six-factor models have high maximum squared Sharpe ratios and small alphas across 205 anomalies. They do not, however, come close to spanning the achievable mean-variance efficient frontier. Accounting for transaction costs, the Fama and French (2015, Journal of Financial Economics, 116, 1–22; 2018, Journal of Financial Economics, 128, 234–252) five-factor model has a significantly higher squared Sharpe ratio than either of these alternative models, while variations employing cash profitability perform better still.

中文翻译：

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与交易成本的模型比较

未能考虑交易成本会对评估资产定价模型时得出的推论产生重大影响，使测试偏向那些采用高成本因素的模型。忽略交易成本，Hou, Xue, and Zhang (2015, Review of Financial Studies , 28, 650–705) q因子模型和 Barillas and Shanken (2018, The Journal of Finance , 73, 715–754) 六因子模型在 205 个异常中具有高的最大夏普比率平方和小的 alpha。然而，它们并没有接近跨越可实现的均值-方差有效边界。Accounting for transaction costs, the Fama and French (2015, Journal of Financial Economics , 116, 1–22; 2018, Journal of Financial Economics, 128, 234–252）五因素模型的夏普比率平方比这两种替代模型中的任何一种都高得多，而采用现金盈利能力的变体表现更好。