Online Appendix for Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
23 Pages Posted: 4 Aug 2020 Last revised: 15 Sep 2021
Date Written: December 4, 2019
The Online Appendix presents additional derivations, simulations, and empirical findings that support and extend the results in the main text of the paper.
Keywords: Cross-sectional asset pricing, factor models, model evaluation, multiple testing, data mining, p-hacking, Bayesian methods, shrinkage, SDF
JEL Classification: G12, C11, C12, C52, C58
Suggested Citation: Suggested Citation