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来源类型Working Paper
规范类型报告
DOI10.3386/w25481
来源IDWorking Paper 25481
Taming the Factor Zoo: A Test of New Factors
Guanhao Feng; Stefano Giglio; Dacheng Xiu
发表日期2019-01-28
出版年2019
语种英语
摘要We propose a model-selection method to systematically evaluate the contribution to asset pricing of any new factor, above and beyond what a high-dimensional set of existing factors explains. Our methodology explicitly accounts for potential model-selection mistakes, unlike the standard approaches that assume perfect variable selection, which rarely occurs in practice and produces a bias due to the omitted variables. We apply our procedure to a set of factors recently discovered in the literature. While most of these new factors are found to be redundant relative to the existing factors, a few — such as profitability — have statistically significant explanatory power beyond the hundreds of factors proposed in the past. In addition, we show that our estimates and their significance are stable, whereas the model selected by simple LASSO is not.
主题Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w25481
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/583155
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GB/T 7714
Guanhao Feng,Stefano Giglio,Dacheng Xiu. Taming the Factor Zoo: A Test of New Factors. 2019.
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