Missing Data in Asset Pricing Panels

被引:4
作者
Freyberger, Joachim [1 ]
Hoeppner, Bjoern [1 ]
Neuhierl, Andreas [2 ]
Weber, Michael [3 ]
机构
[1] Univ Bonn, Bonn, Germany
[2] Washington Univ St Louis, Olin Sch Business, St Louis, MO USA
[3] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA
关键词
C13; C58; G12; CROSS-SECTION; GENERALIZED-METHOD; SAMPLE PROPERTIES; REGRESSION; RETURNS; BIAS; INFORMATION; SELECTION; MODELS; TESTS;
D O I
10.1093/rfs/hhae003
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We propose a simple and computationally attractive method to deal with missing data in in cross-sectional asset pricing using conditional mean imputations and weighted least squares, cast in a generalized method of moments (GMM) framework. This method allows us to use all observations with observed returns; it results in valid inference; and it can be applied in nonlinear and high-dimensional settings. In simulations, we find it performs almost as well as the efficient but computationally costly GMM estimator. We apply our procedure to a large panel of return predictors and find that it leads to improved out-of-sample predictability.
引用
收藏
页码:760 / 802
页数:43
相关论文
共 53 条
[1]  
Abrevaya J, 2017, REV ECON STAT, V99, P657, DOI [10.1162/rest_a_00645, 10.1162/REST_a_00645]
[2]   Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data [J].
Bai, Jushan ;
Ng, Serena .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2021, 116 (536) :1746-1763
[3]   Delisting returns and their effect on accounting-based market anomalies [J].
Beaver, William ;
McNichols, Maureen ;
Price, Richard .
JOURNAL OF ACCOUNTING & ECONOMICS, 2007, 43 (2-3) :341-368
[4]  
Beckmeyer H., 2023, Recovering missing firm characteristics with attention -based machine learning
[5]  
Benjamini Y, 2001, ANN STAT, V29, P1165
[6]   SURVIVORSHIP BIAS IN PERFORMANCE STUDIES [J].
BROWN, SJ ;
GOETZMANN, W ;
IBBOTSON, RG ;
ROSS, SA .
REVIEW OF FINANCIAL STUDIES, 1992, 5 (04) :553-580
[7]   Retail Trading in Options and the Rise of the Big Three Wholesalers [J].
Bryzgalova, Svetlana ;
Pavlova, Anna ;
Sikorskaya, Taisiya .
JOURNAL OF FINANCE, 2023, 78 (06) :3465-3514
[8]   Factor-based imputation of missing values and covariances in panel data of large dimensions [J].
Cahan, Ercument ;
Bai, Jushan ;
Ng, Serena .
JOURNAL OF ECONOMETRICS, 2023, 233 (01) :113-131
[9]   Mutual fund survivorship [J].
Carhart, MM ;
Carpenter, JN ;
Lynch, AW ;
Musto, DK .
REVIEW OF FINANCIAL STUDIES, 2002, 15 (05) :1439-1463
[10]  
Chen A. Y., Journal of Financial Economics