I develop a method to extract only the priced factors from stock returns. The first step estimates expected returns based on firm characteristics. The second step uses the estimated expected returns to form portfolios. The last step uses principal component analysis to extract factors from the portfolio returns. The procedure isolates and emphasizes the comovement across assets that is related to expected returns as opposed to firm characteristics. It produces three factors–level, slope, and curve–which perform as well or better than other leading models. The methodology performs well in out-of-sample tests. The new factors have macroeconomic risk interpretations.

我开发了一种仅从股票收益中提取定价因素的方法。第一步是根据公司特征估计预期收益。第二步使用估计的预期收益来形成投资组合。最后一步使用主成分分析从投资组合收益中提取因子。该程序隔离并强调了与预期回报相关的资产之间的联动，而不是公司特征。它产生三个因子——水平、斜率和曲线——它们的表现与其他领先模型一样好或更好。该方法在样本外测试中表现良好。新的因素有宏观经济风险的解释。