Factors that Fit the Time Series and Cross-Section of Stock Returns
收藏NBER2018-07-01 更新2025-01-04 收录
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https://www.nber.org/papers/w24858
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资源简介：
We propose a new method for estimating latent asset pricing factors that fit the time-series and cross-section of expected returns. Our estimator generalizes Principal Component Analysis (PCA) by including a penalty on the pricing error in expected returns. We show that our estimator strongly
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美国国家经济研究局创建时间：
2018-07-01
