返回Google圖書搜尋

Taming the Factor Zoo

其他書名	A Test of New Factors
出版	National Bureau of Economic Research, 2019
URL	http://books.google.com.hk/books?id=M1F40AEACAAJ&hl=&source=gbs_api

註釋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.