Before revision:  Since the collection of risk factors selected for investigation is large and highly correlated, we use dimension reduction methods , including the Least Absolute Shrinkage and Selection Operator (LASSO ) and prototype clustering , to perform the investigation. For comparison with the existing literature, we compare the multi-factor model 's performance with the Fama-French 5-factor model.
After revision:  Since the collection of risk factors selected for investigation is large and highly correlated, we use dimension reduction methods , including the Least Absolute Shrinkage and Selection Operator (LASSO ) and prototype clustering ) have to be used. The multi-factor model 's performance with the Fama-French 5-factor model.