Taming the Factor Zoo: New Evidence from China

Table 10

Robustness for testing SDF loadings of . This table reports robustness results of SDF loading estimates using double-selection LASSO approach. The sample period is from July 2000 to December 2019. In columns 1 and 2, we use previous 650 5 × 5 bivariate sorted portfolios as test assets, while, in columns 3 and 4, we use 156 2 × 3 bivariate sorted portfolios. Columns 1 and 3 select controls from factors appearing in Table 3 as well as the liquidity factor AMI and Quality-Minus-Junk (QMJ) factor, while columns 2 and 4 select controls from an expanding set including totally 99 benchmark factors.

	5 × 5 portfolios				2 × 3 portfolios
	(1)		(2)		(3)		(4)
	18 factors		99 factors		18 factors		99 factors
	Coef	t-value	Coef	t-value	Coef	t-value	Coef	t-value
Abr	8.77	3.29	6.47	2.28	16.1	3.70	15.44	3.35
Amq	−3.02	−0.89	−13.89	−2.66	−8.07	−1.5	−10.39	−1.07
Betad	8.97	3.86	10.03	4.01	7.38	1.89	5.1	1.17
Droa	52.64	3.81	60.94	4.58	73.33	2.30	78.06	2.43
Droe	−21.84	−1.77	−26.2	−2.18	−48.56	−1.65	−50.97	−1.72
dtv	16.75	2.59	7.38	1.17	−5.73	−0.37	−6.99	−0.44
ivff	27.06	7.35	20.16	2.46	43.09	5.85	19.7	0.95
lrev	−2.82	−1.26	−2.3	−1.12	−1.87	−0.49	−2.49	−0.64
m24	0.58	0.2	3.88	1.35	10.83	2.07	10.91	2.04
mdr	−13.95	−3.36	−14.39	−3.39	−12.15	−1.42	−7.88	−0.85
ra25	−4.53	−1.93	−7.91	−3.05	4	0.92	3.68	0.75
rdm	3.42	0.77	6.79	1.45	−4.41	−0.48	−1.15	−0.11
sgq	−1.66	−0.49	0.31	0.09	9.48	1.46	10.24	1.57
spq	6.13	1.21	9.11	1.66	19.32	1.82	13.77	1.19
srev	3.8	1.97	2.97	1.52	−2.12	−0.54	−3.57	−0.86
tv	−5.32	−1.13	−0.73	−0.14	−15.54	−1.63	−22.45	−2.00
vdtv	−16.99	−2.32	−4.66	−0.63	10.26	0.6	7.32	0.38
vturn	−1.19	−0.48	−3.59	−1.28	−12.27	−2.38	−9.95	−1.70