The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section
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- Ang, Andrew & Liu, Jun & Schwarz, Krista, 2020. "Using Stocks or Portfolios in Tests of Factor Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(3), pages 709-750, May.
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Keywords
factor models; cross-section of stock returns; lasso; simulation study;All these keywords.
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