We assess the predictive ability of 15 economic uncertainty measures in a real-time out-of-sample forecasting exercise for the quantiles of The Conference Board's coincident economic index and its components (industrial production, employment, personal income, and manufacturing and trade sales)....

This study applies the three-factor and five-factor model forwarded by Fama and French [1993] and Fama and French [2015] to evaluate the performance of mutual funds of different AUM in mainland China from a risk factor exposure perspective. I demonstrate that these funds, regardless of reported,...

We make a case that characteristics-based long-short factors should be constructed by the slope factor method rather than by sorting methods. This is because sorting does not fully control for the influence of omitted characteristics, rendering them more noisy than slope factors. In contrast,...

Our objective is to develop a methodology to price the cross section of asset returns. Despite the hundreds of systematic risk factors considered in the literature (``factor zoo''), there is still a sizable pricing error. We show that what is missing in asset-pricing factor models is not...

We propose a criterion to determine the number of factors in a datarich environment by comparing surfaces under the scree plot. Monte Carlo simulations shows that the finite-sample properties of our criterion outperform benchmarks in the dynamic factor model literature

This paper presents the motivations, methodology, and initial empirical work for calculating quantitative “factor fundamentals” using a business factor model. Unlike factor models that explain only equity returns, the business factoring approach seeks to identify a consistent set of factors...

We identify model-free mispricing factors and relate them to global stock prices and investor beliefs. The factors measure variation in the relative mispricing of closed-end funds and their underlying assets. We design three factors to reflect the beliefs and capital flows of important...

In the last decades, Albania has started the implementation of a new practice which is partnership with the private sector, named public-private partnership (PPP), due to the inabilities of the public sector to fulfill all its public needs. This represents a crucial ratio related to economic...