| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12926 |
| DP12926 Estimating Latent Asset-Pricing Factors | |
| Martin Lettau | |
| 发表日期 | 2018-05-10 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We develop an estimator for latent factors in a large-dimensional panel of financial data that can explain expected excess returns. Statistical factor analysis based on Principal Component Analysis (PCA) has problems identifying factors with a small variance that are important for asset pricing. We generalize PCA with a penalty term accounting for the pricing error in expected returns. Our estimator searches for factors that can explain both the expected return and covariance structure. We derive the statistical properties of the new estimator and show that our estimator can find asset-pricing factors, which cannot be detected with PCA, even if a large amount of data is available. Applying the approach to portfolio data we find factors with Sharpe-ratios more than twice as large as those based on conventional PCA and with significantly smaller pricing errors. |
| 主题 | Financial Economics |
| 关键词 | Cross section of returns Anomalies Expected returns High-dimensional data Latent factors Weak factors Pca |
| URL | https://cepr.org/publications/dp12926 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541738 |
| 推荐引用方式 GB/T 7714 | Martin Lettau. DP12926 Estimating Latent Asset-Pricing Factors. 2018. |
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