No Sparsity in Asset Pricing: Evidence from a Generic Statistical Test
The paper introduces a statistical test to identify sparsity in high-dimensional factor models, concluding that less than ten factors can explain stock returns and dense models perform better than sparse ones.
Featured in No. 38 on 21 Feb 2024 · 3 days after release · 3 citations today
- Released
- 18 Feb 2024
- First featured
- No. 38 · 21 Feb 2024
- Citations (Semantic Scholar)
- 3
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4730259
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).