Estimating Latent Asset-Pricing Factors
收藏NBER2018-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w24618
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2018-05-01
