Missing Data in Asset Pricing Panels

94 Pages Posted: 18 Nov 2021 Last revised: 16 Feb 2024

See all articles by Joachim Freyberger

Joachim Freyberger

University of Bonn; University of Wisconsin - Madison

Bjoern Hoeppner

University of Bonn - Department of Economics

Andreas Neuhierl

Washington University in St. Louis - John M. Olin Business School

Michael Weber

University of Chicago - Finance; National Bureau of Economic Research (NBER)

Multiple version iconThere are 3 versions of this paper

Date Written: January 1, 2024

Abstract

We propose a simple and computationally attractive method to deal with missing data in cross-sectional asset pricing using conditional mean imputations and weighted least squares, cast in a generalized method of moments (GMM) framework. This method allows us to use all observations with observed returns; it results in valid inference; and it can be applied in nonlinear and high-dimensional settings. In simulations, we find it performs almost as well as the efficient but computationally costly GMM estimator. We apply our procedure to a large panel of return predictors and find that it leads to improved out-of-sample predictability. (JEL C14, C58, G12)

JEL Classification: C14, C58, G12

Suggested Citation

Freyberger, Joachim and Freyberger, Joachim and Hoeppner, Bjoern and Neuhierl, Andreas and Weber, Michael, Missing Data in Asset Pricing Panels (January 1, 2024). Chicago Booth Research Paper No. 22-19, Fama-Miller Working Paper, Olin Business School Center for Finance & Accounting Research Paper No. Forthcoming, Available at SSRN: https://ssrn.com/abstract=3932438 or http://dx.doi.org/10.2139/ssrn.3932438

Joachim Freyberger

University of Wisconsin - Madison ( email )

716 Langdon Street
Madison, WI 53706-1481
United States

University of Bonn ( email )

Regina-Pacis-Weg 3
Postfach 2220
Bonn, D-53012
Germany

Bjoern Hoeppner

University of Bonn - Department of Economics ( email )

Bonn
Germany

Andreas Neuhierl (Contact Author)

Washington University in St. Louis - John M. Olin Business School ( email )

St. Louis, MO
United States

Michael Weber

University of Chicago - Finance ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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