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- Publisher Website: 10.1111/jofi.13197
- WOS: WOS:000905857400001
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Article: Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Title | Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models |
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Authors | |
Issue Date | 2022 |
Citation | The Journal of Finance, 2022, Forthcoming How to Cite? |
Abstract | We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems. For a (potentially misspecified) stand-alone model, it provides reliable price of risk estimates for both tradable and non-tradable factors, and detects those weakly identified. For competing factors and (possibly non-nested) models, the method automatically selects the best specification – if a dominant one exists – or provides a Bayesian model averaging, BMA-SDF, if there is no clear winner. We analyze 2.25 quadrillion models generated by a large set of factors and find that the BMA-SDF outperforms existing models in- and out-of-sample. |
Persistent Identifier | http://hdl.handle.net/10722/323376 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Bryzgalova, S | - |
dc.contributor.author | Huang, J | - |
dc.contributor.author | JulliardC, C | - |
dc.date.accessioned | 2022-12-16T10:04:15Z | - |
dc.date.available | 2022-12-16T10:04:15Z | - |
dc.date.issued | 2022 | - |
dc.identifier.citation | The Journal of Finance, 2022, Forthcoming | - |
dc.identifier.uri | http://hdl.handle.net/10722/323376 | - |
dc.description.abstract | We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems. For a (potentially misspecified) stand-alone model, it provides reliable price of risk estimates for both tradable and non-tradable factors, and detects those weakly identified. For competing factors and (possibly non-nested) models, the method automatically selects the best specification – if a dominant one exists – or provides a Bayesian model averaging, BMA-SDF, if there is no clear winner. We analyze 2.25 quadrillion models generated by a large set of factors and find that the BMA-SDF outperforms existing models in- and out-of-sample. | - |
dc.language | eng | - |
dc.relation.ispartof | The Journal of Finance | - |
dc.title | Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models | - |
dc.type | Article | - |
dc.identifier.email | Huang, J: huangjt@hku.hk | - |
dc.identifier.authority | Huang, J=rp02975 | - |
dc.identifier.doi | 10.1111/jofi.13197 | - |
dc.identifier.hkuros | 343066 | - |
dc.identifier.volume | Forthcoming | - |
dc.identifier.isi | WOS:000905857400001 | - |