全球智库信息集成服务系统(G2TT): Estimating Latent Asset-Pricing Factors

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w24618
来源ID	Working Paper 24618
	Estimating Latent Asset-Pricing Factors
	Martin Lettau; Markus Pelger
发表日期	2018-05-21
出版年	2018
语种	英语
摘要	We develop an estimator for latent factors in a large-dimensional panel of financial data that can explain expected excess returns. Statistical factor analysis based on Principal Component Analysis (PCA) has problems identifying factors with a small variance that are important for asset pricing. We generalize PCA with a penalty term accounting for the pricing error in expected returns. Our estimator searches for factors that can explain both the expected return and covariance structure. We derive the statistical properties of the new estimator and show that our estimator can find asset-pricing factors, which cannot be detected with PCA, even if a large amount of data is available. Applying the approach to portfolio data we find factors with Sharpe-ratios more than twice as large as those based on conventional PCA and with significantly smaller pricing errors.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w24618
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/582292
推荐引用方式 GB/T 7714	Martin Lettau,Markus Pelger. Estimating Latent Asset-Pricing Factors. 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
w24618.pdf（1421KB）	智库出版物		限制开放	CC BY-NC-SA	浏览