Before revision:  We apply the model to simulated data as well as  daily log-returns of 300 S&P 500 stocks and demonstrate its effectiveness to obtain sparse loadings matrices and more precise correlation estimates . To assess predictive accuracy, our approach is compared to more traditional approaches via log predictive scores and implied minimum variance portfolio performance .
After revision:  We apply the model to simulated data as well as daily log-returns of 300 S&P 500 stocks and demonstrate its effectiveness to obtain sparse loadings matrices and more precise correlation estimates , strong implied minimum variance portfolio performance .