Factor models for conditional asset pricing
Author(s)
Zaffaroni, Paolo
Type
Journal Article
Abstract
This paper develops a methodology, building on a local-PCA approach, for inference on the pricing ability of conditional asset pricing models designed to mitigate the effect of omitted risk factors and misspecified conditional dynamics. The methodology is designed to exploit the rich information available in large cross-sections of individual stocks. Monte Carlo experiments and an empirical application demonstrate the benefits of this methodology over existing approaches.
Date Issued
2025-08-01
Date Acceptance
2025-01-16
Citation
Journal of Political Economy, 2025, 133 (8)
ISSN
0022-3808
Publisher
University of Chicago Press
Journal / Book Title
Journal of Political Economy
Volume
133
Issue
8
Copyright Statement
© 2025 The University of Chicago. All Rights reserved.
Publication Status
Published
Date Publish Online
2025-02-24