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

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