The Asset pricing literature has produced hundreds of risk factor candidates aimed at explaining the cross-section of expected excess returns, although risk factors which are in fact capable of providing independent information remains an open question. Appling a sparse model, Kozak, Nagel, and...

The Factor Zoo phenomenon calls for answers as to which risk factors are in fact capable of providing independent information on the cross-section of expected excess returns, while considering that asset-pricing literature has produced hundreds of candidates. In this paper, we propose a new...

This paper use Exchange Traded Funds (ETFs) instead of risk factors as benchmarks to examine active mutual fund performance distribution. While transaction costs are included in the ETF returns, that is not true regarding risk factors, making it more challenging to characterize extraordinary...