---
title: Stock Returns and Factor Models in Big Data
url: https://www.ml-quant.com/papers/ssrn/4547185/
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 4547185
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4547185
featured: 2023-08-24
citations: unknown
topic: Asset Pricing & Factors
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4547185
- Identifier: SSRN 4547185
- Released: 2022-11-01
- First featured: Quant Letter No. 13 (2023-08-24): https://www.ml-quant.com/issues/2023-08-24/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors

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