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A Protocol for Factor Identification
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DOI：10.1093/rfs/hhy093.png)
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摘要
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We propose a protocol for identifying genuine risk factors. A genuine risk factor must be related to the covariance matrix of returns, must be priced in the cross-section of returns, and should yield a reward-to-risk ratio that is reasonable enough to be consistent with risk pricing. A market factor, a profitability factor, and traded versions of macroeconomic factors pass our protocol, but many characteristic-based factors do not. Several of the underlying characteristics, however, do command premiums in the cross-section.
Keyword:
CROSS-SECTION
STOCK RETURNS
RISK
EQUILIBRIUM
MODELS
MARKET
NUMBER
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论文数:
2.8K
被引数:
3.0W
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