{"id":"W3122864594","doi":"10.1017/s0022109010000207","title":"Dynamic Factors and Asset Pricing","year":2010,"lang":"en","type":"article","venue":"Journal of Financial and Quantitative Analysis","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":22,"is_retracted":false,"has_abstract":true,"ca_institutions":"Brock University","funders":"","keywords":"Capital asset pricing model; Econometrics; Consumption-based capital asset pricing model; Economics; Portfolio; Ex-ante; Predictive power; Arbitrage pricing theory; Explanatory power; Asset (computer security); Investment theory; Stochastic discount factor; Factor analysis; Dynamic factor; Financial economics; Computer science","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.001459479,0.0005971965,0.0006078077,0.0007399547,0.0002556866,0.001972436,0.0006172415,0.001132005,0.003997234],"category_scores_gemma":[0.008353578,0.0004033762,0.000737242,0.0008548077,0.001068898,0.002678052,0.0006752869,0.001339348,0.0004486123],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001118492,"about_ca_system_score_gemma":0.0008983159,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.009234727,"about_ca_topic_score_gemma":0.003604103,"domain_scores_codex":[0.9995326,0.0001690533,0.00002100996,0.0001168029,0.00009680541,0.00006391067],"domain_scores_gemma":[0.997895,0.001445343,0.0003082962,0.0001148211,0.0001710291,0.00006537094],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00003612844,0.00005115238,0.01341573,0.00005858931,0.0001074484,0.0002344625,0.0001536894,0.3811294,0.0007779634,0.5727496,0.00179863,0.02948718],"study_design_scores_gemma":[0.00001390953,0.00003757673,0.004677698,0.00002838005,0.00002922992,0.0001263718,0.00003584072,0.6545911,0.0001769379,0.3360421,0.004207837,0.00003302527],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1955142,0.003766705,0.771251,0.003441352,0.0002692076,0.00005955026,0.0004899597,0.0002805454,0.02492756],"genre_scores_gemma":[0.9761375,0.001552181,0.01589124,0.0001051861,0.0001639436,0.0000251625,0.0001663548,0.0000365923,0.005921809],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.009234727,"threshold_uncertainty_score":0.01836193,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02551699459940224,"score_gpt":0.2559849366117298,"score_spread":0.2304679420123275,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}