Model selection, i.e., the choice of an asset pricing model to the exclusion of competing models, is an inherently misguided strategy when the true model is unavailable to the researcher. This paper illustrates the advantages of a model pooling approach in characterizing the cross section of...

The proliferation of anomalies and the resulting `factor zoo' has challenged finance researchers to identify firm characteristics that are genuinely related to the cross-sectional variation in expected stock returns. We address this challenge using a Bayesian ensemble of trees approach, namely,...