Online Appendix for Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

40 Pages Posted: 4 Aug 2020

See all articles by Svetlana Bryzgalova

Svetlana Bryzgalova

London Business School - Department of Finance

Jiantao Huang

London School of Economics & Political Science (LSE) - Department of Finance

Christian Julliard

London School of Economics & Political Science (LSE) - Department of Finance; Centre for Economic Policy Research (CEPR)

Date Written: December 4, 2019

Abstract

The Online Appendix presents additional derivations, simulations, and empirical findings that support and extend the results in the main text of the paper.

Keywords: Cross-sectional asset pricing, factor models, model evaluation, multiple testing, data mining, p-hacking, Bayesian methods, shrinkage, SDF

JEL Classification: G12, C11, C12, C52, C58

Suggested Citation

Bryzgalova, Svetlana and Huang, Jiantao and Julliard, Christian, Online Appendix for Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models (December 4, 2019). Available at SSRN: https://ssrn.com/abstract=3627010 or http://dx.doi.org/10.2139/ssrn.3627010

Svetlana Bryzgalova

London Business School - Department of Finance ( email )

Sussex Place
Regent's Park
London NW1 4SA
United Kingdom

Jiantao Huang

London School of Economics & Political Science (LSE) - Department of Finance ( email )

Houghton St, Holborn
London, WC2A 2AE
Great Britain

Christian Julliard (Contact Author)

London School of Economics & Political Science (LSE) - Department of Finance ( email )

United Kingdom

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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