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 language | English |
|---|---|
| Pages (from-to) | 760-802 |
| Number of pages | 43 |
| Journal | Review of Financial Studies |
| Volume | 38 |
| Issue number | 3 |
| DOIs | |
| State | Published - Mar 1 2025 |
Fingerprint
Dive into the research topics of 'Missing Data in Asset Pricing Panels'. Together they form a unique fingerprint.Cite this
- APA
- Author
- BIBTEX
- Harvard
- Standard
- RIS
- Vancouver