{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,22]],"date-time":"2026-09-22T15:11:25Z","timestamp":1790089885170,"version":"4.0.1"},"reference-count":54,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2024,12,18]],"date-time":"2024-12-18T00:00:00Z","timestamp":1734480000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["The Journal of Finance"],"published-print":{"date-parts":[[2025,2]]},"abstract":"<jats:title>ABSTRACT<\/jats:title>\n                  <jats:p>We show that two important issues in empirical asset pricing\u2014the presence of weak factors and the selection of test assets\u2014are deeply connected. Since weak factors are those to which test assets have limited exposure, an appropriate selection of test assets can improve the strength of factors. Building on this insight, we introduce supervised principal component analysis (SPCA), a methodology that iterates supervised selection, principal\u2010component estimation, and factor projection. It enables risk premia estimation and factor model diagnosis even when weak factors are present and not all factors are observed. We establish SPCA's asymptotic properties and showcase its empirical\u00a0applications.<\/jats:p>","DOI":"10.1111\/jofi.13415","type":"journal-article","created":{"date-parts":[[2024,12,19]],"date-time":"2024-12-19T02:57:58Z","timestamp":1734577078000},"page":"259-319","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":50,"title":["Test Assets and Weak Factors"],"prefix":"10.1111","volume":"80","author":[{"given":"STEFANO","family":"GIGLIO","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"DACHENG","family":"XIU","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"DAKE","family":"ZHANG","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2024,12,18]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhp065"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2021.01.002"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00836.x"},{"key":"e_1_2_6_5_1","doi-asserted-by":"crossref","unstructured":"Asness Clifford S. AndreaFrazzini andLasse HejePedersen 2013 Quality minus junk Technical report AQR.","DOI":"10.2139\/ssrn.2312432"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00392"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.08.010"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2023.01.027"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2830"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000628"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1371\/journal.pbio.0020108"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.2006.00885.x"},{"key":"e_1_2_6_14_1","unstructured":"Bryzgalova Svetlana 2015 Spurious factors in linear asset pricing models Technical report Stanford University."},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.13197"},{"key":"e_1_2_6_16_1","doi-asserted-by":"crossref","unstructured":"Bryzgalova Svetlana MarkusPelger andJasonZhu 2020 Forest through the trees: Building cross\u2010sections of asset returns Technical report London School of Business and Stanford University.","DOI":"10.2139\/ssrn.3493458"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912275"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.1561\/104.00000112"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(93)90023-5"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1214\/07-AOS504"},{"key":"e_1_2_6_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2020.07.002"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2020.1831927"},{"key":"e_1_2_6_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9868.2008.00674.x"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12883"},{"key":"e_1_2_6_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2013.10.005"},{"key":"e_1_2_6_26_1","doi-asserted-by":"crossref","unstructured":"Freyaldenhoven Simon 2019 A generalized factor model with local factors Technical report FRB of Philadelphia Working paper.","DOI":"10.21799\/frbp.wp.2019.23"},{"key":"e_1_2_6_27_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA11069"},{"key":"e_1_2_6_28_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-financial-101521-104735"},{"key":"e_1_2_6_29_1","doi-asserted-by":"publisher","DOI":"10.1086\/714090"},{"key":"e_1_2_6_30_1","doi-asserted-by":"crossref","unstructured":"Giglio Stefano DachengXiu andDakeZhang 2023 Prediction when factors are weak Technical report University of Chicago.","DOI":"10.2139\/ssrn.4397485"},{"key":"e_1_2_6_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2012.11.002"},{"key":"e_1_2_6_32_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hht135"},{"key":"e_1_2_6_33_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhv059"},{"key":"e_1_2_6_34_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2017.08.002"},{"key":"e_1_2_6_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy131"},{"key":"e_1_2_6_36_1","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.2021.4020"},{"key":"e_1_2_6_37_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhu080"},{"key":"e_1_2_6_38_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20131193"},{"key":"e_1_2_6_39_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00102"},{"key":"e_1_2_6_40_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.05.001"},{"key":"e_1_2_6_41_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhaa102"},{"key":"e_1_2_6_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.01.013"},{"key":"e_1_2_6_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2019.06.008"},{"key":"e_1_2_6_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2019.08.012"},{"key":"e_1_2_6_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2009.09.001"},{"key":"e_1_2_6_46_1","doi-asserted-by":"publisher","DOI":"10.1201\/b10440-13"},{"key":"e_1_2_6_47_1","doi-asserted-by":"publisher","DOI":"10.1086\/374184"},{"key":"e_1_2_6_48_1","doi-asserted-by":"crossref","unstructured":"Pesaran M. Hashem andRon P.Smith 2019 The role of factor strength and pricing errors for estimation and inference in asset pricing models Technical report CESifo Working paper.","DOI":"10.2139\/ssrn.3480925"},{"key":"e_1_2_6_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/0022-0531(76)90046-6"},{"key":"e_1_2_6_50_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA14308"},{"key":"e_1_2_6_51_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.1.1"},{"key":"e_1_2_6_52_1","doi-asserted-by":"publisher","DOI":"10.1109\/TIT.2019.2909889"},{"key":"e_1_2_6_53_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2021.2008405"},{"key":"e_1_2_6_54_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2021.2003203"},{"key":"e_1_2_6_55_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2022.08.013"}],"container-title":["The Journal of Finance"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1111\/jofi.13415","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,1,22]],"date-time":"2025-01-22T23:28:40Z","timestamp":1737588520000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/jofi.13415"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024,12,18]]},"references-count":54,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2025,2]]}},"alternative-id":["10.1111\/jofi.13415"],"URL":"https:\/\/doi.org\/10.1111\/jofi.13415","archive":["Portico"],"relation":{},"ISSN":["0022-1082","1540-6261"],"issn-type":[{"value":"0022-1082","type":"print"},{"value":"1540-6261","type":"electronic"}],"subject":[],"published":{"date-parts":[[2024,12,18]]},"assertion":[{"value":"2022-06-24","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2023-12-21","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-12-18","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}