Dake Zhang

University of Chicago - Booth School of Business

5807 S Woodlawn Ave

Chicago, IL 60637

United States

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Scholarly Papers (1)

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Downloads 1,526 ( 17,302)
Citation 1

Test Assets and Weak Factors

Chicago Booth Research Paper 21-04
Number of pages: 110 Posted: 20 Jan 2021 Last Revised: 23 Jun 2022
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 1,479 (17,767)

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Supervised PCA, SPCA, PCA, risk premium, factor models, APT, Ridge, Lasso, stochastic discount factor

Test Assets and Weak Factors

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-79
Number of pages: 101 Posted: 12 Jul 2021
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 37 (602,035)

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Supervised PCA, SPCA, PCA, risk premium, factor models, APT, Ridge, Lasso, stochastic discount factor

Test Assets and Weak Factors

NBER Working Paper No. w29002
Number of pages: 49 Posted: 12 Jul 2021 Last Revised: 31 Mar 2022
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
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Test Assets and Weak Factors

CEPR Discussion Paper No. DP16307
Number of pages: 103 Posted: 14 Jul 2021
Stefano Giglio, Dacheng Xiu and Dake Zhang
Yale School of Management, University of Chicago and University of Chicago - Booth School of Business
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