Dissecting Characteristics Nonparametrically
收藏NBER2017-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w23227
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资源简介：
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large
提供机构：
美国国家经济研究局
创建时间：
2017-03-01
