The DOI matches its Crossref record; 46 of the 46 references it cites were found in a registry or an index.
Asset Pricing with Omitted Factors
Abstract
Standard estimators of risk premia in linear asset pricing models are biased if some priced factors are omitted. We propose a three-pass method to estimate the risk premium of an observable factor, which is valid even when not all factors in the model are specified or observed. The risk premium of the observable factor can be identified regardless of the rotation of the other control factors if together they span the true factor space. Our approach uses principal components of test asset returns to recover the factor space and additional regressions to obtain the risk premium of the observed factor.
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Cites
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Risk, Return, and Equilibrium: Empirical Tests
Fama, E. F., & MacBeth, J. D. (1973) · Journal of Political Economy · doi:10.1086/260061 · Cited by 14,258
The arbitrage theory of capital asset pricing
Ross, S. A. (1976) · Journal of Economic Theory · doi:10.1016/0022-0531(76)90046-6 · Cited by 7,009
Liquidity Risk and Expected Stock Returns
Pástor, Ľ., & Stambaugh, R. F. (2003) · Journal of Political Economy · doi:10.1086/374184 · Cited by 5,339
The Cross‐Section of Volatility and Expected Returns
ANG, A., HODRICK, R. J., XING, Y., & ZHANG, X. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.00836.x · Cited by 4,508
Determining the Number of Factors in Approximate Factor Models
Bai, J., & Ng, S. (2002) · Econometrica · doi:10.1111/1468-0262.00273 · Cited by 4,099
Capital Market Equilibrium with Restricted Borrowing
Black, F. (1972) · The Journal of Business · doi:10.1086/295472 · Cited by 3,093
What explains the stock market’s reaction to federal reserve policy?
BERNANKE, B. S., & KUTTNER, K. N. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00760.x · Cited by 2,384
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Frazzini, A., & Pedersen, L. H. (2014) · Journal of Financial Economics · doi:10.1016/j.jfineco.2013.10.005 · Cited by 1,954
Research works printed but not linked: 4
- Cochrane John H, Asset Pricing
- Elton Edwin J, 2014, Goetzmann
- Jensen Michael C, 1972, Scholes
- Lettau Martin, Working Paper no. 24858, NBER
Cited by
Empirical Asset Pricing via Machine Learning
Gu, S., Kelly, B., & Xiu, D. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhaa009 · Cited by 2,545
Self-citationEngle, R. F., Giglio, S., Kelly, B., Lee, H., & Stroebel, J. (2020) · The Review of Financial Studies · doi:10.1093/rfs/hhz072 · Cited by 1,489
Self-citationFactor Models, Machine Learning, and Asset Pricing
Giglio, S., Kelly, B., & Xiu, D. (2022) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-101521-104735 · Cited by 187
Self-citationEmpirical asset pricing via machine learning: evidence from the European stock market
Drobetz, W., & Otto, T. (2021) · Journal of Asset Management · doi:10.1057/s41260-021-00237-x · Cited by 61
Metadata
- Authors
- Giglio, S., & Xiu, D.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 2021-07-01
- Volume
- 129
- Issue
- 7
- Pages
- 1947-1990
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W3131102529
- Cited by
- 355
- References
- 46
- FWCI
- 41.95
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
