全球智库信息集成服务系统(G2TT): Factors that Fit the Time Series and Cross-Section of Stock Returns

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w24858
来源ID	Working Paper 24858
	Factors that Fit the Time Series and Cross-Section of Stock Returns
	Martin Lettau; Markus Pelger
发表日期	2018-07-30
出版年	2018
语种	英语
摘要	We propose a new method for estimating latent asset pricing factors that fit the time-series and cross-section of expected returns. Our estimator generalizes Principal Component Analysis (PCA) by including a penalty on the pricing error in expected returns. We show that our estimator strongly dominates PCA and finds weak factors with high Sharpe-ratios that PCA cannot detect. Studying a large number of characteristic sorted portfolios we find that five latent factors with economic meaning explain well the cross-section and time-series of returns. We show that out-of-sample the maximum Sharpe-ratio of our five factors is more than twice as large as with PCA with significantly smaller pricing errors. Our factors are based on only a subset of the stock characteristics implying that a significant amount of characteristic information is redundant.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w24858
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/582532
推荐引用方式 GB/T 7714	Martin Lettau,Markus Pelger. Factors that Fit the Time Series and Cross-Section of Stock Returns. 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
w24858.pdf（1143KB）	智库出版物		限制开放	CC BY-NC-SA	浏览