skip to content
Inference on Risk Premia in the Presence of Omitted Factors Preview this item
ClosePreview this item
Checking...

Inference on Risk Premia in the Presence of Omitted Factors

Author: Stefano Giglio; Dacheng Xiu; National Bureau of Economic Research.
Publisher: Cambridge, Mass. National Bureau of Economic Research 2017.
Series: Working paper series (National Bureau of Economic Research), no. w23527.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
We propose a three-pass method to estimate the risk premia of observable factors in a linear asset pricing model, which is valid even when the observed factors are just a subset of the true factors that drive asset prices or they are measured with error. We show that the risk premium of a factor can be identified in a linear factor model regardless of the rotation of the other control factors as long as they  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Stefano Giglio; Dacheng Xiu; National Bureau of Economic Research.
OCLC Number: 1008877293
Notes: June 2017.
Description: 1 online resource
Series Title: Working paper series (National Bureau of Economic Research), no. w23527.
Responsibility: Stefano Giglio, Dacheng Xiu.

Abstract:

We propose a three-pass method to estimate the risk premia of observable factors in a linear asset pricing model, which is valid even when the observed factors are just a subset of the true factors that drive asset prices or they are measured with error. We show that the risk premium of a factor can be identified in a linear factor model regardless of the rotation of the other control factors as long as they together span the space of true factors. Motivated by this rotation invariance result, our approach uses principal components to recover the factor space and combines the estimated principal components with each observed factor to obtain a consistent estimate of its risk premium. Our methodology also accounts for potential measurement error in the observed factors and detects when such factors are spurious or even useless. The methodology exploits the blessings of dimensionality, and we therefore apply it to a large panel of equity portfolios to estimate risk premia for several workhorse linear models. The estimates are robust to the choice of test portfolios within equities as well as across many asset classes.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/1008877293> # Inference on Risk Premia in the Presence of Omitted Factors
    a schema:MediaObject, schema:Book, schema:CreativeWork ;
    library:oclcnum "1008877293" ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/4407600108#Place/cambridge_mass> ; # Cambridge, Mass.
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/mau> ;
    schema:bookFormat schema:EBook ;
    schema:contributor <http://experiment.worldcat.org/entity/work/data/4407600108#Person/xiu_dacheng> ; # Dacheng Xiu
    schema:contributor <http://experiment.worldcat.org/entity/work/data/4407600108#Organization/national_bureau_of_economic_research> ; # National Bureau of Economic Research.
    schema:creator <http://experiment.worldcat.org/entity/work/data/4407600108#Person/giglio_stefano> ; # Stefano Giglio
    schema:datePublished "2017" ;
    schema:description "We propose a three-pass method to estimate the risk premia of observable factors in a linear asset pricing model, which is valid even when the observed factors are just a subset of the true factors that drive asset prices or they are measured with error. We show that the risk premium of a factor can be identified in a linear factor model regardless of the rotation of the other control factors as long as they together span the space of true factors. Motivated by this rotation invariance result, our approach uses principal components to recover the factor space and combines the estimated principal components with each observed factor to obtain a consistent estimate of its risk premium. Our methodology also accounts for potential measurement error in the observed factors and detects when such factors are spurious or even useless. The methodology exploits the blessings of dimensionality, and we therefore apply it to a large panel of equity portfolios to estimate risk premia for several workhorse linear models. The estimates are robust to the choice of test portfolios within equities as well as across many asset classes."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/4407600108> ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/4407600108#Series/working_paper_series_national_bureau_of_economic_research> ; # Working paper series (National Bureau of Economic Research) ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/4407600108#Series/nber_working_paper_series> ; # NBER working paper series
    schema:name "Inference on Risk Premia in the Presence of Omitted Factors"@en ;
    schema:productID "1008877293" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/1008877293#PublicationEvent/cambridge_mass_national_bureau_of_economic_research2017> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/4407600108#Agent/national_bureau_of_economic_research> ; # National Bureau of Economic Research
    schema:url <https://doi.org/10.3386/w23527> ;
    schema:url <http://papers.nber.org/papers/w23527> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/1008877293> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/4407600108#Agent/national_bureau_of_economic_research> # National Bureau of Economic Research
    a bgn:Agent ;
    schema:name "National Bureau of Economic Research" ;
    .

<http://experiment.worldcat.org/entity/work/data/4407600108#Organization/national_bureau_of_economic_research> # National Bureau of Economic Research.
    a schema:Organization ;
    schema:name "National Bureau of Economic Research." ;
    .

<http://experiment.worldcat.org/entity/work/data/4407600108#Person/giglio_stefano> # Stefano Giglio
    a schema:Person ;
    schema:familyName "Giglio" ;
    schema:givenName "Stefano" ;
    schema:name "Stefano Giglio" ;
    .

<http://experiment.worldcat.org/entity/work/data/4407600108#Person/xiu_dacheng> # Dacheng Xiu
    a schema:Person ;
    schema:familyName "Xiu" ;
    schema:givenName "Dacheng" ;
    schema:name "Dacheng Xiu" ;
    .

<http://experiment.worldcat.org/entity/work/data/4407600108#Place/cambridge_mass> # Cambridge, Mass.
    a schema:Place ;
    schema:name "Cambridge, Mass." ;
    .

<http://experiment.worldcat.org/entity/work/data/4407600108#Series/nber_working_paper_series> # NBER working paper series
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/1008877293> ; # Inference on Risk Premia in the Presence of Omitted Factors
    schema:name "NBER working paper series" ;
    .

<http://experiment.worldcat.org/entity/work/data/4407600108#Series/working_paper_series_national_bureau_of_economic_research> # Working paper series (National Bureau of Economic Research) ;
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/1008877293> ; # Inference on Risk Premia in the Presence of Omitted Factors
    schema:name "Working paper series (National Bureau of Economic Research) ;" ;
    .

<https://doi.org/10.3386/w23527>
    rdfs:comment "Campus and remote access" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.