Infinite Factor Structure in Conditional Asset Pricing
The research reveals that pooling returns across market states creates an infinite-factor structure unconditionally, meaning infinitely many priced components and no finite principal-component basis for expected returns.
Featured in No. 135 on 16 Oct 2026 · 4 days after release
- Released
- 12 Oct 2026
- First featured
- No. 135 · 16 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- SSRN 7596842
- Authors
- Mikhail Chernov et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).