Missing data for return predictors is a common problem in cross sectional asset pricing studies. Most papers do not explicitly discuss how they treat missing data but conventional treatments focus on complete cases for all predictors or impute the unconditional mean for the missing predictor....

Missing data for return predictors is a common problem in cross sectional asset pricing. Most papers do not explicitly discuss how they deal with missing data but conventional treatments focus on the subset of firms with no missing data for any predictor or impute the unconditional mean. Both...

Missing data for return predictors is a common problem in cross sectional asset pricing. Most papers do not explicitly discuss how they deal with missing data but conventional treatments focus on the subset of firms with no missing data for any predictor or impute the unconditional mean. Both...