Taming the Factor Zoo: A Test of New Factors
收藏NBER2019-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w25481
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2019-01-01
