Domesticating the Factor Zoo with Economic Theory
区分了归因因子和定价因子，指出定价因子应来自资产定价模型且数量少、长期有效，并引入流行度资产定价模型（PAPM）作为识别定价因子的理论框架，帮助投资者驯服因子动物园。
Confusion around the so-called factor zoo is largely due to a failure to distinguish between “attribution” factors and “priced” factors emanating from an asset pricing model. Attribution factors have a zero <italic>expected</italic> mean, do not emanate from asset pricing models, are high in number, can be short term, and should not drive investment policy. Priced factors should have nonzero <italic>expected</italic> premiums, emanate from an asset pricing model, be low in number, be long term, and influence investment policy. Empirical attempts to tame the factor zoo that distinguish between useful, useless, and redundant factors are helpful but could benefit from an overarching theory. The popularity asset pricing model (PAPM), an equilibrium model in which priced factors primarily emanate from the collective tastes of investors, provides a framework for identifying and understanding priced factors, leading to a domesticated factor farm.