| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25481 |
| 来源ID | Working 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 |
| URL | https://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 |
| 推荐引用方式 GB/T 7714 | Guanhao Feng,Stefano Giglio,Dacheng Xiu. Taming the Factor Zoo: A Test of New Factors. 2019. |
| 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 | ||
| w25481.pdf（2044KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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