Factor Models, Machine Learning, and Asset Pricing

Autor:	Stefano Giglio, Bryan Kelly, Dacheng Xiu
Rok vydání:	2022
Předmět:	Economics and Econometrics Finance
Zdroj:	Annual Review of Financial Economics. 14:337-368
ISSN:	1941-1375 1941-1367
DOI:	10.1146/annurev-financial-101521-104735
Popis:	We survey recent methodological contributions in asset pricing using factor models and machine learning. We organize these results based on their primary objectives: estimating expected returns, factors, risk exposures, risk premia, and the stochastic discount factor as well as model comparison and alpha testing. We also discuss a variety of asymptotic schemes for inference. Our survey is a guide for financial economists interested in harnessing modern tools with rigor, robustness, and power to make new asset pricing discoveries, and it highlights directions for future research and methodological advances.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::ab3a654c656d69bf4deb2ca6efb8a41e https://doi.org/10.1146/annurev-financial-101521-104735 Zobrazit plný text záznamu