traders face this sort of joint inference problem, the risk of selecting the wrong features can spill over and distort how … even if traders themselves are fully rational. Moreover, I show how modeling feature-selection risk leads to additional … predictions that are outside the scope of noise-trader risk. For instance, to discover pricing errors as quickly as possible, a …

when the markets offer high returns. ECINF is not only a priced risk factor, but the most significant factor in our asset … pricing tests, which suggests that ignoring the risk of information asymmetry may give rise to false discoveries of anomalies …. As a case in point, we show that momentum anomalies disappear once we control for the risk of information asymmetry. This …

The risk factors in many consumption-based asset pricing models display statistically weak correlation with the returns … factors (SDFs) when they are mis-specified and the covariance matrix of the asset returns with the risk factors has less than … with SDFs specified in terms of demeaned risk factors improves the performance of GMM but the power to reject mis …