Factor Zoo (.zip)
研究了驱动股票收益的众多因子中，约15个因子即可解释整个因子动物园的alpha，说明许多因子是冗余的，但仅用少数因子又不够，且因子代表随时间变化。
The number of factors allegedly driving the cross-section of stock returns has grown steadily over time. We explore how much this “factor zoo” can be compressed, focusing on explaining the available alpha rather than the covariance matrix of factor returns. Our findings indicate that about 15 factors are enough to span the entire factor zoo. This evidence suggests that many factors are redundant but also that merely using a handful of factors, as in common asset pricing models, is insufficient. While the selected factor styles remain persistent, the specific style representatives vary over time, underscoring the importance of continuous factor innovation.