Shrinking the Cross Section
收藏NBER2017-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w24070
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资源简介：
We construct a robust stochastic discount factor (SDF) that summarizes the joint explanatory power of a large number of cross-sectional stock return predictors. Our method achieves robust out-of-sample performance in this high-dimensional setting by imposing an economically motivated prior on SDF
提供机构：
美国国家经济研究局
创建时间：
2017-12-01
