Lettau and Pelger (2020) proposed the use of Principal Component Analysis (PCA) to identify latent asset pricing
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Lettau and Pelger (2020) proposed the use of Principal Component Analysis (PCA) to identify latent asset pricing factors. How does PCA find factors in stock returns? How many latent factors did they find in empirical tests? Are PCA latent factors related to traditional factors used in asset pricing models?
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Answer Lettau and Pelger 2020 proposed using Principal Component Analysis PCA to identify latent asset pricing factors PCA is a statistical technique ...View the full answer
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Related Book For 
Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
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