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Missing Data in Asset Pricing Panels

  • Joachim Freyberger
  • , Bjoern Hoeppner
  • , Andreas Neuhierl
  • , Michael Weber

    Research output: Contribution to journalArticlepeer-review

    Abstract

    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.

    Original languageEnglish
    Pages (from-to)760-802
    Number of pages43
    JournalReview of Financial Studies
    Volume38
    Issue number3
    DOIs
    StatePublished - Mar 1 2025

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