---
title: FamaMacBeth Regression with Higher-Order Factors
url: https://www.ml-quant.com/papers/ssrn/5181447/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5181447
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5181447
featured: 2025-03-26
citations: unknown
topic: Asset Pricing & Factors
---


# FamaMacBeth Regression with Higher-Order Factors

The research suggests a forward selection method for estimating a high-dimensional stochastic discount factor model, outperforming traditional benchmarks and encompassing most factors.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5181447
- Identifier: SSRN 5181447
- Released: 2025-03-16
- First featured: Quant Letter No. 90 (2025-03-26): https://www.ml-quant.com/issues/2025-03-26/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors

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