The Lasso and the Factor Zoo-Predicting Expected Returns in the Cross-Section
We investigate whether Lasso-type linear methods are able to improve the predictive accuracy of OLS in selecting relevant firm characteristics for forecasting the future cross-section of stock returns. Through extensive Monte Carlo simulations, we show that Lasso-type predictions are superior to OLS...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-11-01
|
| Series: | Forecasting |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2571-9394/4/4/53 |