Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

We build a simple diagnostic criterion for approximate factor structure in large panel
datasets. Given observable factors, the criterion checks whether the errors are weakly cross …

This note studies some seemingly anomalous results that arise in possibly misspecified,
reduced‐rank linear asset‐pricing models estimated by the continuously updated …

We propose a methodology for estimating and testing beta-pricing models when a large
number of assets is available for investment but the number of time-series observations is …

This paper is concerned with statistical inference and model evaluation in possibly
misspecified and unidentified linear asset pricing models estimated by maximum likelihood …

We explore the factor structure in delta-hedged equity option returns. We find that both call
and put options, including at-the-money and out-of-the-money, share the same factor …

Although Major League Baseball has a long history, most studies of attendance have
focused on recent years because important explanatory data, such as ticket prices, are often …

We examine the time-series risk-return trade-off among equity factors. We obtain a positive
trade-off for profitability and investment factors, which is consistent with the APT. Such …

This article applies a panel data model with observed common factors to Major League
Baseball (MLB) data from 1904 to 2012 to analyze attendance. In particular, it aims to …

In a novel model mining experiment, we data mine hundreds of randomly constructed three-
factor models and find that many outperform well-known models from the literature, including …