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- W2890664384 abstract "We apply a reduced-rank approach to reduce a large number of observable factors to a few parsimonious ones. Out of 70 factor proxies, we find that the best five combinations seem adequate and outperform the Fama-French (2015) five factors for pricing industry portfolios as expected. However, they do not improve much for pricing individual stocks. Our results suggest that new factors are wanted to reduce the pricing errors at the firm level." @default.
- W2890664384 created "2018-09-27" @default.
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- W2890664384 date "2018-01-01" @default.
- W2890664384 modified "2023-10-02" @default.
- W2890664384 title "Shrinking Factor Dimension: A Reduced-Rank Approach" @default.
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- W2890664384 doi "https://doi.org/10.2139/ssrn.3205697" @default.
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