Stock return predictability: A factor-augmented predictive regression system with shrinkage method
Author:
Affiliation:
1. Amundi Japan, Ltd., Chiyoda-ku, Tokyo, Japan
2. Graduate School of Business, Keio University Yokohama, Kanagawa, Japan
Funder
This research was partially supported by a grant from the Seimeikai Foundation, Japan.
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/07474938.2014.977086
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4. Ando, T., Bai, J. (2013b). Panel data models with grouped factor structure under unknown group membership, Working Paper. Columbia university.
5. Quantile regression models with factor‐augmented predictors and information criterion
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