Movatterモバイル変換

[0]ホーム
URL:

Advanced search

Browse Econ Literature

More features

IDEAS home Printed from https://ideas.repec.org/p/chf/rpseri/rp1946.html
    My bibliography Save this paper

Estimation of Large Dimensional Conditional Factor Models in Finance

Author

Listed:
  • Patrick Gagliardini

    (USI Università della Svizzera italiana; Swiss Finance Institute)

  • Elisa Ossola

    (European Commission, Joint Research Centre)

  • O. Scaillet

    (University of Geneva GSEM and GFRI; Swiss Finance Institute; University of Geneva - Research Center for Statistics)

Abstract

This chapter provides an econometric methodology for inference in large-dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of disaggregated data for individual securities motivates our focus on methodologies for a large number of assets. The beginning of the chapter outlines the concept of approximate factor structure in the presence of conditional information, and develops an arbitrage pricing theory for large-dimensional factor models in this framework. Then we distinguish between two different cases for inference depending on whether factors are observable or not. We focus on diagnosing model specification, estimating conditional risk premia, and testing asset pricing restrictions under increasing cross-sectional and time series dimensions. At the end of the chapter, we review some of the empirical findings and contrast analysis based on individual stocks and standard sets of portfolios. We also discuss the impact on computing time-varying cost of equity for a firm, and summarize differences between results for developed and emerging markets in an international setting.

Suggested Citation

  • Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance,"Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
    • Handle:RePEc:chf:rpseri:rp1946
    as

    Download full text from publisher

    File URL:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3443426
    Download Restriction: no

    Other versions of this item:

    Citations

    Citations are extracted by theCitEc Project, subscribe to itsRSS feed for this item.
    as


    Cited by:

    1. Alessi, Lucia & Ossola, Elisa & Panzica, Roberto, 2023."When do investors go green? Evidence from a time-varying asset-pricing model,"International Review of Financial Analysis, Elsevier, vol. 90(C).
    2. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models,"Papers 2102.11341, arXiv.org, revised Sep 2022.
    3. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning,"Papers 2009.10103, arXiv.org.
    4. Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022."Skill, Scale, and Value Creation in the Mutual Fund Industry,"Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
    5. Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021."Factors and risk premia in individual international stock returns,"Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
    6. Dennis Umlandt, 2020. "Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models,"Working Paper Series 2020-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    NEP fields

    This paper has been announced in the followingNEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle:RePEc:chf:rpseri:rp1946. Seegeneral information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do ithere. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by usingthis form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in yourRePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal (email available below). General contact details of provider:https://edirc.repec.org/data/fameech.html.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is aRePEc service. RePEc uses bibliographic data supplied by the respective publishers.
    [8]ページ先頭
    ©2009-2026 Movatter.jp