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Cited by 188Financial Markets and Investment StrategiesFinancial Risk and Volatility ModelingStock Market Forecasting Methods

The DOI matches its Crossref record; 119 of the 119 references it cites were found in a registry or an index.

Factor Models, Machine Learning, and Asset Pricing

Giglio, Stefano, Kelly, Bryan, Xiu, Dacheng·2022·Annual Review of Financial Economics
DOI 10.1146/annurev-financial-101521-104735
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Abstract

We survey recent methodological contributions in asset pricing using factor models and machine learning. We organize these results based on their primary objectives: estimating expected returns, factors, risk exposures, risk premia, and the stochastic discount factor as well as model comparison and alpha testing. We also discuss a variety of asymptotic schemes for inference. Our survey is a guide for financial economists interested in harnessing modern tools with rigor, robustness, and power to make new asset pricing discoveries, and it highlights directions for future research and methodological advances.

Overview

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Crossref · 10.1146/annurev-financial-101521-104735

Cites

119 of 119 references verified0 citation errors · 0 not checkable

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Citations

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Show all 112 references

Research works printed but not linked: 6

  1. Benjamini Y, 2001, Ann. Stat., 28, 1165
  2. Bryzgalova S., 2015, Spurious factors in linear asset pricing models
  3. Cong LW, 2021, Alphaportfolio: direct construction through deep reinforcement learning and interpretable AI
  4. Jensen TI, 2021, J. Finance.
  5. Kelly B, 2021, J. Finance.
  6. Sharpe WF., 1964, J. Finance, 19, 425

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Metadata

Authors
Giglio, S., Kelly, B., & Xiu, D.
Affiliations
  • Yale University (US)
  • University of Chicago (US)
ORCID
Venue
Annual Review of Financial Economics
Publisher
Annual Reviews
Published
2022-11-01
Volume
14
Issue
1
Pages
337-368
ISSN
  • 1941-1367 (ISSN-L)
  • 1941-1375
DOI
10.1146/annurev-financial-101521-104735
OpenAlex
W4290725190
Cited by
187
References
112
Citations by year
2026: 32 · 2025: 61 · 2024: 43 · 2023: 28 · 2022: 9
FWCI
7.31
Type
journal article
Language
en
Open access
closed
Locations
Annual Review of Financial Economics (publishedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
  • Social Sciences › Decision Sciences › Management Science and Operations Research › Stock Market Forecasting Methods
Keywords
asset pricing, factor models, machine learning, expected returns, risk exposure, risk premium, stochastic discount factor, model comparison, alpha testing, asymptotic inference, factor estimation

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