| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24070 |
| 来源ID | Working Paper 24070 |
| Shrinking the Cross Section | |
| Serhiy Kozak; Stefan Nagel; Shrihari Santosh | |
| 发表日期 | 2017-12-04 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We construct a robust stochastic discount factor (SDF) that summarizes the joint explanatory power of a large number of cross-sectional stock return predictors. Our method achieves robust out-of-sample performance in this high-dimensional setting by imposing an economically motivated prior on SDF coefficients that shrinks the contributions of low-variance principal components of the candidate factors. While empirical asset pricing research has focused on SDFs with a small number of characteristics-based factors—e.g., the four- or five-factor models discussed in the recent literature—we find that such a characteristics-sparse SDF cannot adequately summarize the cross-section of expected stock returns. However, a relatively small number of principal components of the universe of potential characteristics-based factors can approximate the SDF quite well. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24070 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581744 |
| 推荐引用方式 GB/T 7714 | Serhiy Kozak,Stefan Nagel,Shrihari Santosh. Shrinking the Cross Section. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24070.pdf（3565KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
