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Mikhail Chernov

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Aug 2026

Unpriced Common Risks: Rethinking Cross-Sectional Asset Pricing

Characteristic-based factors embed large unpriced common components that depress Sharpe ratios and lead to deviations from the mean-variance efficient (MVE) frontier. We discuss how to decompose tradable factor returns into priced (MVE) and unpriced components, showing that hedging unpriced variation realigns factors w...

Mikhail Chernov, Magnus Dahlquist, Lars A. Lochstoer · 0 citations

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