Complexity in Factor Pricing Models

Antoine Didisheim is at the University of Melbourne. Shikun Ke is at Yale School of Management. Bryan Kelly is at Yale School of Management, AQR Capital Management, and NBER; www.bryankellyacademic. org. Semyon Malamud is at Swiss Finance Institute, EPFL, and CEPR, and is a consultant to AQR. We are grateful for helpful comments from Fabio Trojani, Neng Wang, and seminar participants at the Wharton School of Management, Temple University, the University of California San Diego, the Imperial College London, and the National University of Singapore. We are especially grateful to Mohammad Pourmohammadi for his numerous constructive comments and suggestions. Semyon Malamud gratefully acknowledges the financial support of the Swiss Finance Institute and the Swiss National Science Foundation, Grant 100018 192692. AQR Capital Management is a global investment management firm that may or may not apply similar investment techniques or methods of analysis as described herein. The views expressed here are those of the authors and not necessarily those of AQR or the National Bureau of Economic Research.