数字经济前沿文献讨论会第2期：Factors That Fit the Time Series and Cross-Section of Stock Returns
207 时间：2020年7月2日（周四）下午3:00
形式：44118太阳成城集团530线下会议
题目：Factors That Fit the Time Series and Cross-Section of Stock Returns
期刊：The Review of Financial Studies
作者：Martin Lettau，Markus Pelger
摘要：We propose a newmethod 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. Our approach finds weak factors with high Sharpe ratios that PCA cannot detect.We discover five factors with economic meaning that explain well the cross-section and time series of characteristicsorted portfolio returns. The out-of-sample maximum Sharpe ratio of our factors is twice as large as with PCA with substantially smaller pricing errors. Our factors imply that a significant amount of characteristic information is redundant.
主讲人：刘晓彬助理教授
