Asset Pricing with Omitted Factors
线性资产定价模型中，如果遗漏了某些定价因子，标准风险溢价估计量会有偏。本文提出一种三步法来估计可观测因子的风险溢价，即使模型中的其他因子未被指定或观测，该方法仍然有效。
Standard estimators of risk premia in linear asset pricing models are biased if some priced factors are omitted. We propose a three-pass method to estimate the risk premium of an observable factor, which is valid even when not all factors in the model are specified or observed. The risk premium of the observable factor can be identified regardless of the rotation of the other control factors if together they span the true factor space. Our approach uses principal components of test asset returns to recover the factor space and additional regressions to obtain the risk premium of the observed factor.