Taming the Factor Zoo: A Test of New Factors
提出一种模型选择方法，系统评估新因子在已有高维因子集之外的资产定价贡献，纠正因遗漏变量产生的偏差。应用发现多数新因子冗余，少数有显著增量解释力。
ABSTRACT We propose a model selection method to systematically evaluate the contribution to asset pricing of any new factor, above and beyond what a high‐dimensional set of existing factors explains. Our methodology accounts for model selection mistakes that produce a bias due to omitted variables, unlike standard approaches that assume perfect variable selection. We apply our procedure to a set of factors recently discovered in the literature. While most of these new factors are shown to be redundant relative to the existing factors, a few have statistically significant explanatory power beyond the hundreds of factors proposed in the past.