Chapter 14: Latent Factor Models
Multiple Testing, Replication, and the Factor Zoo After the Replication Wars intermediate
The factor zoo is not just a story about too many predictors. It is a story about search, construction choices, and the gap between a published anomaly and an investable factor.
The factor zoo is not just a story about too many predictors. It is a story about search, construction choices, and the gap between a published anomaly and an investable factor.
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References
A Census of the Factor Zoo
Campbell R. Harvey, Yan Liu
(2019)
A five-factor asset pricing model
Eugene F. Fama, Kenneth R. French
— Journal of Financial Economics
...and the Cross-Section of Expected Returns
Campbell R. Harvey, Yan Liu, Heqing Zhu
(2016)
— Review of Financial Studies
Replicating Anomalies
Kewei Hou, Chen Xue, Lu Zhang
(2020)
— The Review of Financial Studies