美联储-因素选择与结构断裂（英）.pdf
FinanceandEconomicsDiscussionSeriesFederalReserveBoard,Washington,D.C.ISSN1936-2854(Print)ISSN2767-3898(Online)FactorSelectionandStructuralBreaksSiddharthaChibandSimonC.Smith2024-037Pleasecitethispaperas:Chib,Siddhartha,andSimonC.Smith(2024).FactorSelectionandStructuralBreaks,"FinanceandEconomicsDiscussionSeries2024-037.Washington:BoardofGovernorsoftheFederalReserveSystem,https://doi.org/10.17016/FEDS.2024.037.NOTE:Sta workingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.Theanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchsta ortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers.FactorSelectionandStructuralBreaksSiddharthaChiba,SimonC.SmithbaOlinSchoolofBusiness,WashingtonUniversityinSt.LouisbFederalReserveBoardDraft:May31,2024AbstractWedevelopanewapproachtoselectriskfactorsinanassetpricingmodelthatallowsthesettochangeatmultipleunknownbreakdates.UsingthesixfactorsdisplayedinTable1since1963,wedocumentamarkedshifttowardsparsimoniousmodelsinthelasttwodecades.Priorto2005,fiveorsixfactorsareselected,butjusttwoareselectedthereafter.Thisfindingoffersasimpleimplicationforthefactorzooliterature:ignoringbreaksdetectsadditionalfactorsthatarenolongerrelevant.Moreover,allomittedfactorsarepricedbytheselectedfactorsineveryregime.Finally,theselectedfactorsoutperformpopularfactormodelsasaninvestmentstrategy.Keywords:Modelcomparison,Factormodels,Structuralbreaks,Anomaly,Bayesiananal-ysis,Discountfactor,Portfolioanalysis,Sparsity.JELclassifications:G12,C11,C12,C52,C58Emailaddresses:chib@wustl.edu(SiddharthaChib),simon.c.smith@frb.gov(SimonC.Smith)WethankDanieleBianchiandAndyNeuhierl.Anyremainingerrorsareourown.TheviewsexpressedinthispaperarethoseoftheauthorsanddonotnecessarilyreflecttheviewsandpoliciesoftheBoardofGovernorsortheFederalReserveSystem.CenterforResearchinSecurityPricesdatawereobtainedbySiddharthaChibunderthepurviewofWashingtonUniversitylicenses.1.“USsmall-capstocksaresufferingtheirworstrunofperformancerelativetolargecompaniesinmorethan20years[...]TheRussell2000indexhasrisen24%sincethebeginningof2020,laggingtheS&P500’smorethan60%gainoverthesameperiod.Thegapinperformanceupendsalong-termhistoricalnorminwhichfast-growingsmall-capshavetendedtodeliverpunchierreturnsforinvestorswhocanstomachthehighervolatility.”1(FinancialTimes,2024)Theempiricalliteratureonassetpricinghasproposedahugenumberoffactorsthatclaimtoexplainthecross-sectionofexpectedstockreturns(Cochrane).Morerecently,thefieldhasbeendealingwithhowtohandlethisproliferationoffactors.Variouspotentialsolutionshavebeenoffered(Fengetal.2020).Thispaperpresentsanintuitivelysimplepointofviewthathassomehowbeenoverlookedintheliterature.Ifthesetoffactorsthatexplainthecrosssectionofexpectedreturnsisvaryingovertime,itiscriticaltoaccountforthisfeaturewhe
