作者：Kelly, Bryan; Malamud, Semyon; Pedersen, Lasse Heje
作者单位：Yale University; National Bureau of Economic Research; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Copenhagen Business School
摘要：We propose a new asset pricing framework in which all securities' signals predict each individual return. While the literature focuses on securities' own-signal predictability, assuming equal strength across securities, our framework includes cross-predictability-leading to three main results. First, we derive the optimal strategy in closed form. It consists of eigenvectors of a prediction matrix, which we call principal portfolios. Second, we decompose the problem into alpha and beta, yieldin...
作者：Bryzgalova, Svetlana; Huang, Jiantao; Julliard, Christian
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; University of Hong Kong; University of London; London Business School
摘要：We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems. For a (potentially misspecified) stand-alone model, it provides reliable price of risk estimates for both tradable and nontradable factors, and detects those weakly identified. For competing factors and (possibly nonnested) models, the method automatically selects the best specification-if a dominant one exists-or provides a Bayesian model averaging-stochastic di...
