05 - Altra tipologia (OTHER RESEARCH OUTPUT)

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Association Of American Law Schools - 2024 Annual Meeting

One Factor to Bind the Cross-Section of Returns

We propose a new non-linear single-factor asset pricing model. Despite its parsimony, this model represents exactly any non-linear model with an arbitrary number of factors and loadings – a consequence of the Kolmogorov-Arnold representation theorem. It features only one pricing component comprising a nonparametric link function of the time-dependent factor and factor loading that we jointly estimate with sieve-based estimators. Using 171 assets across major classes, our model delivers superi...

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