Misspecification and Weak Identification in the Nontraded Factor Zoo
Robust econometric methods reduce the fraction of 102 nontraded factors classified as priced from 39% to 4%-13%, suggesting prior tests overstated their pricing ability.
Featured in No. 139 on 13 Nov 2026 · on release day
- Released
- 13 Nov 2026
- First featured
- No. 139 · 13 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- SSRN 7686448
- Authors
- Amedeo Andriollo et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).