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
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