Semi-Strong Factors in Asset Returns
改进了资产回报的近似因子模型，区分了强因子和半强因子，并开发了基于横截面均方回归估计贝塔的检验统计量，用于识别因子强度。
Abstract We refine the approximate factor model of asset returns by distinguishing between strong factors, whose sum of squared factor betas grow at the same rate as the number of assets, and semi-strong factors, whose sum of squared factor betas grow to infinity, but at a slower rate. We develop a test statistic for strength of factors based on the cross-sectional mean-square of regression-estimated betas. We also describe an adjusted version of the test statistic to differentiate semi-strong factors from strong factors. We apply the methodology to daily equity returns to characterize some pre-specified factors as strong or semi-strong.