G2TT
来源类型Discussion paper
规范类型论文
来源IDDP14266
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
URLhttps://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.
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