Taming the Factor Zoo: A Test of New Factors
收藏数据链接：
官方服务：
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
