Measurement of factor strength: Theory and practice
نویسندگان
چکیده
This paper proposes an estimator of factor strength and establishes its consistency asymptotic distribution. The is based on the number statistically significant loadings, taking multiple testing into account. Both cases observed unobserved factors are considered. small sample properties proposed investigated using Monte Carlo experiments. It shown that estimation inference procedures perform well have excellent power properties, especially when sufficiently high. Empirical applications to models for asset returns show out 146 recently considered in finance literature, only market truly strong, while all other at best semi-strong, with their varying considerably over time. Similarly, we find evidence semi-strong a large US macroeconomic indicators.
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2021
ISSN: ['1099-1255', '0883-7252']
DOI: https://doi.org/10.1002/jae.2830