The DOI matches its Crossref record; 134 of the 134 references it cites were found in a registry or an index.
Taming the Factor Zoo: A Test of New Factors
Abstract
We propose a model selection method to systematically evaluate the contribution to asset pricing of any new factor, above and beyond what a high‐dimensional set of existing factors explains. Our methodology accounts for model selection mistakes that produce a bias due to omitted variables, unlike standard approaches that assume perfect variable selection. We apply our procedure to a set of factors recently discovered in the literature. While most of these new factors are shown to be redundant relative to the existing factors, a few have statistically significant explanatory power beyond the hundreds of factors proposed in the past.
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Citations
Cites
Regression shrinkage and selection via the lasso
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Risk, Return, and Equilibrium: Empirical Tests
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The Elements of Statistical Learning: Data Mining, Inference, and Prediction
John Lu, Z. Q. (2010) · Journal of the Royal Statistical Society Series A: Statistics in Society · doi:10.1111/j.1467-985x.2010.00646_6.x · Cited by 12,390
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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Illiquidity and stock returns: cross-section and time-series effects
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A five-factor asset pricing model
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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-citationIs There a Replication Crisis in Finance?
JENSEN, T. I., KELLY, B., & PEDERSEN, L. H. (2023) · The Journal of Finance · doi:10.1111/jofi.13249 · Cited by 489
Bond Risk Premiums with Machine Learning
Bianchi, D., Büchner, M., & Tamoni, A. (2021) · The Review of Financial Studies · doi:10.1093/rfs/hhaa062 · Cited by 409
Factor 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-citationA New Test of Risk Factor Relevance
CHINCO, A., HARTZMARK, S. M., & SUSSMAN, A. B. (2022) · The Journal of Finance · doi:10.1111/jofi.13135 · Cited by 75
Metadata
- Authors
- FENG, G., GIGLIO, S., & XIU, D.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2020-02-27
- Volume
- 75
- Issue
- 3
- Pages
- 1327-1370
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2609300041
- Cited by
- 707
- References
- 134
- FWCI
- 83.54
- 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.
