Taming the Factor Zoo: New Evidence from China

Table 8

Testing SDF loadings of . This table reports SDF loading estimates of 18 tested factors with significant risk premia in the A-share market. We use 650 5 × 5 bivariate sorted portfolios as test assets. Benchmark factors include all factors appearing in Table 3 as well as the liquidity factor AMI and Quality-Minus-Junk (QMJ) factor. The sample period is from July 2000 to December 2019. The first column uses double-selection LASSO approach to determine controlling factors. The second column only uses factors of Liu–Stambaugh–Yuan 4-factor model [15] as controls. The third column uses all 18 benchmark factors as controls.

	(1)		(2)		(3)
	Double Lasso		ChF4		All
	Coef	t-value	Coef	t-value	Coef	t-value
abr	8.77	3.29	6.89	2.69	−0.02	−0.01
amq	−3.02	−0.89	−2.88	−0.96	12.74	2.22
betad	8.97	3.86	5.51	2.31	7.03	2.84
droa	52.64	3.81	39.88	3.19	41.02	2.71
droe	−21.84	−1.77	−5.85	−0.51	−9.19	−0.71
dtv	16.75	2.59	33.54	5.29	33.64	4.17
ivff	27.06	7.35	23.35	6.79	15.74	3.86
lrev	−2.82	−1.26	−4.5	−2.33	0.29	0.1
m24	0.58	0.2	7.27	2.72	6.09	1.68
mdr	−13.95	−3.36	−8.32	−2.09	3.3	0.62
ra25	−4.53	−1.93	−6.49	−2.83	0.66	0.25
rdm	3.42	0.77	6.75	1.57	12.63	2.46
sgq	−1.66	−0.49	−14.71	−4.31	−13.99	−3.62
spq	6.13	1.21	−2.43	−0.44	−6.55	−1.06
srev	3.8	1.97	1.74	0.91	−0.2	−0.08
tv	−5.32	−1.13	−7.69	−1.64	−10.75	−1.91
vdtv	−16.99	−2.32	−28.3	−3.83	−38.21	−4.24
vturn	−1.19	−0.48	6.68	2.95	10.99	3.68