| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14266 |
| DP14266 Taming the Factor Zoo: A Test of New Factors | |
| Stefano Giglio; Guanhao Feng; Dacheng Xiu | |
| 发表日期 | 2020-01-02 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We propose a model selection method to systematically evaluate the contribution to asset pricing of any new factor, above and beyond what a high-dimensional set of existing factors explains. Our methodology accounts for model selection mistakes that produce a bias due to omitted variables, unlike standard approaches that assume perfect variable selection. We apply our procedure to a set of factors recently discovered in the literature. While most of these new factors are shown to be redundant relative to the existing factors, a few have statistically significant explanatory power beyond the hundreds of factors proposed in the past. |
| 主题 | Financial Economics |
| 关键词 | Factors Stochastic discount factor Post-selection inference Regularized two-pass estimation Variable selection Machine learning Lasso Elastic net Pca |
| URL | https://cepr.org/publications/dp14266 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543155 |
| 推荐引用方式 GB/T 7714 | Stefano Giglio,Guanhao Feng,Dacheng Xiu. DP14266 Taming the Factor Zoo: A Test of New Factors. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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