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Supplemental Appendix - Factors that Fit the Time Series and Cross-Section of Stock Returns

Lettau, Martin and Pelger, Markus, Supplemental Appendix for "Factors that Fit the Time Series and Cross-Section of Stock Returns”, 2019

98 Pages Posted: 6 Dec 2019 Last revised: 30 Jan 2020

See all articles by Martin Lettau

Martin Lettau

University of California - Haas School of Business; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Markus Pelger

Stanford University - Department of Management Science & Engineering

Date Written: November 19, 2019

Abstract

The Supplemental Appendix to "Factors that Fit the Time Series and Cross-Section of Stock Returns" provides additional tables and figures supporting the main text. Among others it includes robustness results for the large cross-section of all decile portfolios and the extended cross-section with 49 anomalies. We also collect the results for a large number of double-sorted portfolios.

Keywords: Cross Section of Returns, Anomalies, Expected Returns, High-Dimensional Data, Latent Factors, Weak Factors, PCA

JEL Classification: C14, C52, C58, G12

Suggested Citation

Lettau, Martin and Pelger, Markus, Supplemental Appendix - Factors that Fit the Time Series and Cross-Section of Stock Returns (November 19, 2019). Lettau, Martin and Pelger, Markus, Supplemental Appendix for "Factors that Fit the Time Series and Cross-Section of Stock Returns”, 2019, Available at SSRN: https://ssrn.com/abstract=3490934 or http://dx.doi.org/10.2139/ssrn.3490934

Martin Lettau

University of California - Haas School of Business ( email )

Haas School of Business
545 Student Services Building
Berkeley, CA 94720
United States
5106436349 (Phone)

HOME PAGE: http://faculty.haas.berkeley.edu/lettau/

Centre for Economic Policy Research (CEPR)

London
United Kingdom

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Markus Pelger (Contact Author)

Stanford University - Department of Management Science & Engineering ( email )

473 Via Ortega
Stanford, CA 94305-9025
United States

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