Test Assets and Weak Factors ​

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Authors: Dacheng Xiu, Ding Zhang
Year: 2025
Journal: Journal of Finance
DOI: 10.1111/jofi.13415

Keywords: asset pricing, factor models, weak factors, test assets, empirical asset pricing

Abstract ​

We show that two important issues in empirical asset pricing—the presence of test assets and weak factors—are intimately related. Test assets appear weak because the factors used to price them are weak.

Cite this paper ​

@misc{testassetsweakfactors2025,
  title  = {Test Assets and Weak Factors},
  author = {Dacheng Xiu, Ding Zhang},
  year   = {2025},
  journal = {Journal of Finance},
  doi    = {10.1111/jofi.13415},
  url    = {https://doi.org/10.1111/jofi.13415},
}

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