Over the years, top journals have published a factor zoo containing hundreds of characteristics, only to see many of them losing empirical significance over time. In this paper, we perform an out-of-sample factor-zoo analysis on the rise and fall of characteristics in explaining cross-sectional...

Over the years, top journals have published hundreds of characteristics to explain stock return, but many have lost significance. What fundamentally affects the time-varying significance of characteristics that survive? We combine machine-learning (ML) and portfolio analysis to uncover patterns...