| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24540 |
| 来源ID | Working Paper 24540 |
| Characteristics Are Covariances: A Unified Model of Risk and Return | |
| Bryan Kelly; Seth Pruitt; Yinan Su | |
| 发表日期 | 2018-04-23 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We propose a new modeling approach for the cross section of returns. Our method, Instrumented Principal Components Analysis (IPCA), allows for latent factors and time-varying loadings by introducing observable characteristics that instrument for the unobservable dynamic loadings. If the characteristics/expected return relationship is driven by compensation for exposure to latent risk factors, IPCA will identify the corresponding latent factors. If no such factors exist, IPCA infers that the characteristic effect is compensation without risk and allocates it to an "anomaly" intercept. Studying returns and characteristics at the stock-level, we find that four IPCA factors explain the cross section of average returns significantly more accurately than existing factor models and produce characteristic-associated anomaly intercepts that are small and statistically insignificant. Furthermore, among a large collection of characteristics explored in the literature, only eight are statistically significant in the IPCA specification and are responsible for nearly 100% of the model's accuracy. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24540 |
| 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/582213 |
| 推荐引用方式 GB/T 7714 | Bryan Kelly,Seth Pruitt,Yinan Su. Characteristics Are Covariances: A Unified Model of Risk and Return. 2018. |
| 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 | ||
| w24540.pdf（528KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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