Taming the Factor Zoo: New Evidence from China

Table 9

Testing SDF loadings of controlling all benchmark factors. This table reports testing results of SDF loading estimates controlling all 99 benchmark factors simultaneously. The sample period is from July 2000 to December 2019. In column 1, we use previous 650 5 × 5 bivariate sorted portfolios as test assets, while, in column 2, we use 156 2 × 3 bivariate sorted portfolios.

(1)		(2)
5 × 5 portfolios		2 × 3 portfolios
Coef	t-value	Coef	t-value
16.53	2.372	29.9	1.23
−13.71	−0.879	93.76	1.87
17.46	3.294	61.15	3.52
52.44	1.774	161.05	1.43
3.08	0.127	−30.72	−0.342
−22.83	−1.431	−42.48	−0.836
−13.15	−0.854	−73.88	−1.297
−6.14	−0.825	−12.64	−0.441
14.89	1.925	−28.3	−0.957
11.13	1.162	−1.93	−0.048
2.78	0.413	34.41	1.358
13.48	1.211	9.68	0.276
2.18	0.224	89.84	2.21
−8.73	−0.566	35.83	0.539
−6.46	−1.269	−8.55	−0.415
−8.9	−0.832	40.41	1.092
−6.43	−0.395	−12.07	−0.158
16.25	1.215	−51.08	−0.77