| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17225 |
| DP17225 Three Common Factors | |
| Elena Andreou; Patrick Gagliardini; Eric Ghysels; Mirco Rubin | |
| 发表日期 | 2022-04-15 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Hint: these are not the Fama-French 3 factors and they are not even spanned by the Fama-French 5 factors. More importantly, they feature superior out-of-sample pricing performance compared to standard asset pricing models. What is “common” about these factors? We identify the factor space common between individual stocks and sorted portfolios - neither affected by time-varying betas nor by the sorting characteristics. |
| 主题 | Financial Economics |
| 关键词 | Testing common factors Portfolio sorting Factor zoo |
| URL | https://cepr.org/publications/dp17225 |
| 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/546226 |
| 推荐引用方式 GB/T 7714 | Elena Andreou,Patrick Gagliardini,Eric Ghysels,et al. DP17225 Three Common Factors. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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