{"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":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0005732961,0.000134985,0.0006019857,0.0005832277,0.0001358769,0.0000883377,0.00008916942,0.00008233488,0.00006744817],"category_scores_gemma":[0.000468984,0.0001114689,0.0001925158,0.0005167967,0.0001349521,0.0004167705,0.00002647473,0.0002603426,0.000003562425],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00001354173,"about_ca_system_score_gemma":0.00002955373,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001618336,"about_ca_topic_score_gemma":0.0003754736,"domain_scores_codex":[0.9990163,0.00001415418,0.0005928694,0.0001755165,0.00004673885,0.0001543559],"domain_scores_gemma":[0.9989602,0.0001084973,0.0006777623,0.00008408347,0.00008605926,0.00008338735],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.00002864705,0.00004747671,0.5126349,0.00001656903,0.000268207,0.00000818831,0.0007001332,0.000009445259,0.0004890008,0.4851292,0.0001075631,0.0005607128],"study_design_scores_gemma":[0.0002229628,0.0002327974,0.9539787,0.000008872457,0.0001430526,0.00000430385,0.0001916976,0.001381843,0.00002848741,0.04031087,0.003345777,0.000150604],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.993777,0.001677893,0.002554794,0.0002759238,0.0002290311,0.00003778276,0.00004334265,0.000003639361,0.001400635],"genre_scores_gemma":[0.9958183,0.0007348453,0.003238221,0.00008282464,0.00003374351,7.351197e-7,0.000003163584,0.00000641697,0.0000817663],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.4448183,"threshold_uncertainty_score":0.4545568,"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."}}