没有合适的资源?快使用搜索试试~ 我知道了~
20200314_吕漫妮_论文展示1
需积分: 0 0 下载量 143 浏览量
2022-08-03
16:31:34
上传
评论
收藏 1.36MB PDF 举报
温馨提示
试读
35页
1.Excellent ability to jointly evaluate large numbers of characteristic 2.Has no
资源详情
资源评论
资源推荐
Characteristics Are Covariances:
A Unified Model of Risk and Return
Bryan T. Kelly & Seth Pruitt & Yinan Su
Journal of Financial Economics. 2019.Dec.
吕漫妮
2020年3月7日
Contents
• Introduction
• Model and Estimation
• Asset Pricing Tests
• Empirical Findings
2020年3月8日 吕漫妮
2
2020年3月13日
吕漫妮
3
the Euler equation for
investment returns
Discount factor is
linear in factors.
The factors and loadings are unobservable, how?
Treats these factors as observable by
the econometrician, and estimates
betas and alphas via regression
e.g. Fama and French (1993).
Treats risk factors as latent and use factor analytic
techniques, such as PCA, to estimate the factors and
betas, e.g. Chamberlain and Rothschild (1983) and
Connor and Korajczyk (1986).
Instrumented Principal Components Analysis (IPCA)
allows factor loadings to partially depend on observable
asset characteristics that serve as instrumental variables.
Why different assets earn
different average returns?
Models stock returns as a
function of many
characteristics at once
2020年3月13日
吕漫妮
4
Central Motivation:
To build a model and estimator that admits the possibility that
characteristics line up with average returns because they proxy for
loadings on common risk factors.
Features
1.Excellent ability to jointly evaluate large numbers of characteristic
predictors with minimal computational burden.
2.Has no presumption that the researcher can correctly specify the exact
factors a priori.
3.Nest traditional, pre-specified factors within a more general IPCA
specification.
Introduction
Model and Estimation
General Model Specification:
2020年3月13日
吕漫妮
5
• Instrumenting the estimation of latent factor loadings with observable
characteristics allows additional data to shape the factor model (PCA solely
from returns data)
• Incorporating time-varying instruments makes it possible to estimate dynamic
factor loadings, which is valuable when one seeks a model of conditional
return behavior.
剩余34页未读,继续阅读
Asama浅间
- 粉丝: 23
- 资源: 299
上传资源 快速赚钱
- 我的内容管理 展开
- 我的资源 快来上传第一个资源
- 我的收益 登录查看自己的收益
- 我的积分 登录查看自己的积分
- 我的C币 登录后查看C币余额
- 我的收藏
- 我的下载
- 下载帮助
安全验证
文档复制为VIP权益,开通VIP直接复制
信息提交成功
评论0