Stock Returns and Factor Models in Big Data
A model with a high-dimensional state space and multiple assets can solve several asset pricing puzzles, predicting many high Sharpe ratio strategies that do not overlap.
Featured in No. 13 on 24 Aug 2023 ·
- Released
- 1 Nov 2022
- First featured
- No. 13 · 24 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4547185
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).