Cross-sectional expected returns : new Fama-MacBeth regressions in the era of machine learning

Yufeng Han, Ai He, David E. Rapach, Guofu Zhou

Year of publication:	2024
Authors:	Han, Yufeng ; He, Ai ; Rapach, David E. ; Zhou, Guofu
Subject:	penalized regression \| forecast combination \| forecast encompassing \| characteristic payoff \| cross- sectional out-of-sample R2 statistic \| Regressionsanalyse \| Regression analysis \| Prognoseverfahren \| Forecasting model \| Künstliche Intelligenz \| Artificial intelligence \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Prognose \| Forecast \| Statistischer Test \| Statistical test \| Kapitaleinkommen \| Capital income

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