Before revision:  We first obtain the collection of all possible factors and then provide a simultaneous test, security by security, of which factors are significant . Since the collection of risk factors is large and highly correlated, high-dimension methods (including the LASSO and prototype clustering) have to be used.
After revision:  We first obtain the collection of all possible factors and then provide a simultaneous test, security by security, of which risk-factors are significant for which securities . Since the collection of risk factors is large and highly correlated, high-dimension methods (including the LASSO and prototype clustering) have to be used.