Factor Models for Conditional Asset Pricing

• 成果类型: Article; Early Access
• 署名作者: Zaffaroni, Paolo
• 署名单位: Imperial College London
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/735513
• 发表日期: 2025
• 关键词: cross-section; RISK; tests; equilibrium; portfolios; number

摘要

This paper develops a methodology, building on a local principal component analysis approach, for inference on the pricing ability of conditional asset pricing models designed to mitigate the effect of omitted risk factors and misspecified conditional dynamics. The methodology is designed to exploit the rich information available in large cross sections of individual stocks. Monte Carlo experiments and an empirical application demonstrate the benefits of this methodology over existing approaches.