Estimating latent asset-pricing factors (Q2190237)
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scientific article; zbMATH DE number 7213062
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| English | Estimating latent asset-pricing factors |
scientific article; zbMATH DE number 7213062 |
Statements
Estimating latent asset-pricing factors (English)
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18 June 2020
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cross section of returns
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anomalies
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expected returns
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high-dimensional data
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latent factors
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weak factors
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PCA
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0.8085922002792358
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0.7899737358093262
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0.7823188304901123
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0.7737438082695007
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