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原文連結
論文資訊
- 類型：已發表論文
- 日期：2021-04-30
摘要
We represent risk factors as sums of orthogonal components capturing fluctuations with cycles of different length. The representation leads to novel spectral factor models in which systematic risk is allowed-without being forced-to vary across frequencies. Frequency specific systematic risk is captured by a notion of spectral beta . We show that traditional factor models restrict the spectral betas to be constant across frequencies. The restriction can hide horizon-specific pricing effects that spectral factor models are designed to reveal. We illustrate how the methods may lead to 經濟ally meaningful dimensionality reduction in the factor space.
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