Unexplained factors and their effects on second pass R-squared's

DOI10.1016/J.JECONOM.2014.11.006MaRDI QIDQ496150zbMATH OpenOpenAlexFDO

Authors Frank Kleibergen, Zhaoguo Zhan

Publication date 18 September 2015

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2014.11.006

zbMATH Keywords

(non-standard) large sample distributionfactor pricingFama-MacBeth two pass procedureprincipal componentsstochastic discount factorsweak identification

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cites work

• A Test of the Efficiency of a Given Portfolio
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• Common risk factors in the returns on stocks and bonds
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• Tests of risk premia in linear factor models

Cited in

(13)

• Identification and inference in two-pass asset pricing models
• Factor models with many assets: strong factors, weak factors, and the two-pass procedure
• Identifying latent factors based on high-frequency data
• The three-pass regression filter: a new approach to forecasting using many predictors
• Limit theorems for factor models
• Model selection in factor-augmented regressions with estimated factors
• Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
• Mining the factor zoo: estimation of latent factor models with sufficient proxies
• A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection
• Robust mutual fund selection with false discovery rate control
• Risk premia from the cross-section of individual assets
• Identification-robust and simultaneous inference in multifactor asset pricing models
• Identification robust inference for the risk premium in term structure models

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