{"id":"https://openalex.org/W4285176356","doi":"https://doi.org/10.2139/ssrn.4135146","title":"What is Missing in Asset-Pricing Factor Models?","display_name":"What is Missing in Asset-Pricing Factor Models?","publication_year":2022,"publication_date":"2022-01-01","ids":{"openalex":"https://openalex.org/W4285176356","doi":"https://doi.org/10.2139/ssrn.4135146"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.4135146","doi":"https://doi.org/10.2139/ssrn.4135146","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.4135146","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.4135146","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5092303302","display_name":"Massimo Dello Preite","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Massimo Dello Preite","raw_affiliation_strings":["Imperial College London, South Kensington Campus, Exhibition Road, London, Greater London SW7 2AZ, United Kingdom","Imperial College London"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Imperial College London, South Kensington Campus, Exhibition Road, London, Greater London SW7 2AZ, United Kingdom","institution_ids":["https://openalex.org/I47508984"]},{"raw_affiliation_string":"Imperial College London","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5027636087","display_name":"Raman Uppal","orcid":"https://orcid.org/0000-0001-9428-147X","observed_orcids":["https://orcid.org/0000-0001-9428-147X"]},"institutions":[{"id":"https://openalex.org/I4210140326","display_name":"Centre for Economic Policy Research","ror":"https://ror.org/04jzmdh37","country_code":"GB","type":"nonprofit","lineage":["https://openalex.org/I4210140326"]},{"id":"https://openalex.org/I90326151","display_name":"Ecole des Hautes Etudes Commerciales du Nord","ror":"https://ror.org/05q7a8a02","country_code":"FR","type":"education","lineage":["https://openalex.org/I90326151"]}],"countries":["FR","GB"],"is_corresponding":true,"raw_author_name":"Raman Uppal","raw_affiliation_strings":["Centre for Economic Policy Research (CEPR), 90-98 Goswell Road, London, EC1V 7RR, United Kingdom","EDHEC Business School, 58 rue du Port, Lille, 59046, France","Centre for Economic Policy Research (CEPR)","EDHEC Business School"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Centre for Economic Policy Research (CEPR), 90-98 Goswell Road, London, EC1V 7RR, United Kingdom","institution_ids":["https://openalex.org/I4210140326"]},{"raw_affiliation_string":"EDHEC Business School, 58 rue du Port, Lille, 59046, France","institution_ids":["https://openalex.org/I90326151"]},{"raw_affiliation_string":"Centre for Economic Policy Research (CEPR)","institution_ids":["https://openalex.org/I4210140326"]},{"raw_affiliation_string":"EDHEC Business School","institution_ids":["https://openalex.org/I90326151"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5051290643","display_name":"Paolo Zaffaroni","orcid":"https://orcid.org/0000-0001-9441-5255","observed_orcids":["https://orcid.org/0000-0001-9441-5255"]},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Paolo Zaffaroni","raw_affiliation_strings":["Imperial College Business School, South Kensington Campus, Exhibition Road, London SW7 2AZ, SW7 2AZ, United Kingdom","Imperial College Business School"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Imperial College Business School, South Kensington Campus, Exhibition Road, London SW7 2AZ, SW7 2AZ, United Kingdom","institution_ids":["https://openalex.org/I47508984"]},{"raw_affiliation_string":"Imperial College Business School","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5049177140","display_name":"Irina Zviadadze","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I4210140326","display_name":"Centre for Economic Policy Research","ror":"https://ror.org/04jzmdh37","country_code":"GB","type":"nonprofit","lineage":["https://openalex.org/I4210140326"]},{"id":"https://openalex.org/I83860666","display_name":"HEC Paris","ror":"https://ror.org/0423jsj19","country_code":"FR","type":"education","lineage":["https://openalex.org/I83860666"]}],"countries":["FR","GB"],"is_corresponding":false,"raw_author_name":"Irina Zviadadze","raw_affiliation_strings":["Centre for Economic Policy Research (CEPR), London, United Kingdom","HEC Paris, 1 rue de la Liberation, Jouy-en-Josas Cedex, 78351, France","HEC Paris"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Centre for Economic Policy Research (CEPR), London, United Kingdom","institution_ids":["https://openalex.org/I4210140326"]},{"raw_affiliation_string":"HEC Paris, 1 rue de la Liberation, Jouy-en-Josas Cedex, 78351, France","institution_ids":["https://openalex.org/I83860666"]},{"raw_affiliation_string":"HEC Paris","institution_ids":["https://openalex.org/I83860666"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5027636087"],"corresponding_institution_ids":["https://openalex.org/I4210140326","https://openalex.org/I90326151"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/asset-pricing","display_name":"asset pricing","score":0.796999990940094},{"id":"https://openalex.org/keywords/factor-models","display_name":"factor models","score":0.8539999723434448},{"id":"https://openalex.org/keywords/factor-zoo","display_name":"factor zoo","score":0.7630000114440918},{"id":"https://openalex.org/keywords/stochastic-discount-factor","display_name":"stochastic discount factor","score":0.8299999833106995},{"id":"https://openalex.org/keywords/cross-section-of-stock-returns","display_name":"cross-section of stock returns","score":0.8379999995231628},{"id":"https://openalex.org/keywords/systematic-risk-factors","display_name":"systematic risk factors","score":0.7110000252723694},{"id":"https://openalex.org/keywords/market-frictions","display_name":"market frictions","score":0.8920000195503235},{"id":"https://openalex.org/keywords/behavioral-biases","display_name":"behavioral biases","score":0.9070000052452087},{"id":"https://openalex.org/keywords/pricing-errors","display_name":"pricing errors","score":0.5910000205039978}],"concepts":[{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.6325958371162415},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4827424883842468},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.45634424686431885},{"id":"https://openalex.org/C167626555","wikidata":"https://www.wikidata.org/wiki/Q5164759","display_name":"Consumption-based capital asset pricing model","level":3,"score":0.4402269721031189},{"id":"https://openalex.org/C2781039887","wikidata":"https://www.wikidata.org/wiki/Q1391724","display_name":"Factor (programming language)","level":2,"score":0.42317819595336914},{"id":"https://openalex.org/C142450864","wikidata":"https://www.wikidata.org/wiki/Q629941","display_name":"Arbitrage pricing theory","level":3,"score":0.41530221700668335},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.37081730365753174},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.36551374197006226},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.3517991602420807},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.26476120948791504},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2139/ssrn.4135146","doi":"https://doi.org/10.2139/ssrn.4135146","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.4135146","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.4135146","doi":"https://doi.org/10.2139/ssrn.4135146","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.4135146","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":100,"referenced_works":["https://openalex.org/W1534235825","https://openalex.org/W1568004826","https://openalex.org/W1593060747","https://openalex.org/W1593748280","https://openalex.org/W1756905108","https://openalex.org/W1916618105","https://openalex.org/W1975395389","https://openalex.org/W1975570699","https://openalex.org/W1978409019","https://openalex.org/W1985349674","https://openalex.org/W1995834279","https://openalex.org/W1997575166","https://openalex.org/W1999918735","https://openalex.org/W2002882686","https://openalex.org/W2010681793","https://openalex.org/W2019923367","https://openalex.org/W2025710885","https://openalex.org/W2029056003","https://openalex.org/W2046519558","https://openalex.org/W2062125287","https://openalex.org/W2074609004","https://openalex.org/W2079549578","https://openalex.org/W2082330181","https://openalex.org/W2084956342","https://openalex.org/W2093260403","https://openalex.org/W2101620928","https://openalex.org/W2102277992","https://openalex.org/W2104204963","https://openalex.org/W2104795328","https://openalex.org/W2113208252","https://openalex.org/W2116277545","https://openalex.org/W2122298188","https://openalex.org/W2125520394","https://openalex.org/W2135647799","https://openalex.org/W2136120210","https://openalex.org/W2142043708","https://openalex.org/W2145035301","https://openalex.org/W2146587342","https://openalex.org/W2158366624","https://openalex.org/W2162328283","https://openalex.org/W2166215547","https://openalex.org/W2257048727","https://openalex.org/W2531889810","https://openalex.org/W2606387815","https://openalex.org/W2609300041","https://openalex.org/W2798909945","https://openalex.org/W2889831213","https://openalex.org/W2927867347","https://openalex.org/W2995871652","https://openalex.org/W3010918279","https://openalex.org/W3018089439","https://openalex.org/W3021190191","https://openalex.org/W3021711601","https://openalex.org/W3023486457","https://openalex.org/W3121287929","https://openalex.org/W3121401171","https://openalex.org/W3121451334","https://openalex.org/W3121467893","https://openalex.org/W3121938508","https://openalex.org/W3122304752","https://openalex.org/W3122344187","https://openalex.org/W3122402351","https://openalex.org/W3122438879","https://openalex.org/W3122442489","https://openalex.org/W3122639747","https://openalex.org/W3123178375","https://openalex.org/W3123403707","https://openalex.org/W3123510391","https://openalex.org/W3123639445","https://openalex.org/W3123642520","https://openalex.org/W3124027709","https://openalex.org/W3124257267","https://openalex.org/W3125469545","https://openalex.org/W3125782198","https://openalex.org/W3125930949","https://openalex.org/W3126081245","https://openalex.org/W3126136988","https://openalex.org/W3126287000","https://openalex.org/W3126779953","https://openalex.org/W3131102529","https://openalex.org/W3156703404","https://openalex.org/W3195102896","https://openalex.org/W3195338949","https://openalex.org/W3202981592","https://openalex.org/W4211170237","https://openalex.org/W4211239526","https://openalex.org/W4220906785","https://openalex.org/W4225469462","https://openalex.org/W4230576380","https://openalex.org/W4231064559","https://openalex.org/W4231710278","https://openalex.org/W4236290419","https://openalex.org/W4237239309","https://openalex.org/W4240163899","https://openalex.org/W4243760387","https://openalex.org/W4256217162","https://openalex.org/W4285208064","https://openalex.org/W4294658817","https://openalex.org/W4312074767","https://openalex.org/W4407898074"],"related_works":["https://openalex.org/W2135647799","https://openalex.org/W4378675653","https://openalex.org/W1530680087","https://openalex.org/W2132398227","https://openalex.org/W3107189027","https://openalex.org/W2132031988","https://openalex.org/W2604713857","https://openalex.org/W2373150118","https://openalex.org/W2912969208","https://openalex.org/W7137061578"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":8},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":2}],"updated_date":"2026-11-10T11:39:43.021295","created_date":"2022-07-14T00:00:00"}