Estimating the Pricing Kernel: A Simple Regression-Based Dimension-Reduction Approach

The authors are grateful to department editor Kay Giesecke, the associate editor, and three referees for their insightful comments that significantly improved this paper. The authors also thank Wenbin Cao, Justin Case, Xuanjuan Chen, Dacheng Xiu, Gavin Feng, Jiawen Gu, Jinji Hao, Xin He, Fuwei Jiang, Junqing Kang, Shaoyu Li, Stavros Panageas, James Sefton, Robert Stambaugh, Xinyu Wu, Lin Xin, Qi Xu, Jingda Yan, Chuyi Yang, Yang Yang, Yifan Ye, Chu Zhang, Zhengyu Zhang, Jiaying Zhong, Hao Zhou, and the participants from Renmin University of China, Anhui University of Finance and Economics, Hong Kong University of Science and Technology (Guangzhou), University of International Business and Economics, Washington University in St. Louis, the Federal Reserve Bank of Atlanta, City University of London, Imperial College London, University of Bath, University of Birmingham, University of Exeter, University of Science and Technology of China, the 2023 International Symposium on Financial System Engineering and Risk Management, the 2023 Conference on Big Data, Artificial Intelligence and Fintech, the 2023 China Econometricians Forum, the 2023 Annual China FinTech Conference, the 2024 China Fintech Research Conference, the International Association for Applied Econometrics 2024 Annual Conference, the 2024 China International Risk Forum, the 2024 Wellington Finance Summit, the 2024 Greater China Area Finance Conference, the 2024 First INFORMS Conference on Financial Engineering and FinTech, the 2024 Asset Pricing Workshop at Xiamen University, the 2024 Chinese Finance Annual Meeting, 2025 SoFiE Financial Machine Learning Summer School at Yale University, 2025 Wharton-Jacobs Levy Frontiers in Quantitative Finance, and the Eighth China Finance Scholar Forum for their helpful comments and suggestions.