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Volumn 27, Issue 4, 2001, Pages 51-61

Identifying the factor structure of equity returns: Returns can be better understood using several dimensions

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EID: 0041032734     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2001.319813     Document Type: Article
Times cited : (8)

References (14)
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    • Chen, N.1    Roll, R.2    Ross, S.3
  • 3
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    • A test for the number of factors in an approximate factor model
    • _. "A Test for the Number of Factors in an Approximate Factor Model." Journal of Finance, 48 (1993), pp. 1263-1292.
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    • Common risk factors in the returns on stocks and bonds
    • Fama, E., and K. French. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993), pp. 3-56.
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    • Fama, E.1    French, K.2
  • 5
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    • The cross-section of expected stock returns
    • _. "The Cross-Section of Expected Stock Returns." Journal of Finance, 47 (1992), pp. 427-465.
    • (1992) Journal of Finance , vol.47 , pp. 427-465
  • 6
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    • Size and book-to-market factors in earnings and returns
    • _. "Size and Book-to-Market Factors in Earnings and Returns." Journal of Finance, 50 (1995), pp. 131-155.
    • (1995) Journal of Finance , vol.50 , pp. 131-155
  • 7
    • 0000928969 scopus 로고
    • Risk, return, and equilibrium: Empirical test
    • Fama, E., and J. MacBeth. "Risk, Return, and Equilibrium: Empirical Test." Journal of Political Economy, 81 (1973), pp. 607-636.
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    • Fama, E.1    MacBeth, J.2
  • 10
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    • A semiautoregression approach to the arbitrage pricing theory
    • Mei, J. "A Semiautoregression Approach to the Arbitrage Pricing Theory." Journal of Finance, 48 (1993), pp. 599-620.
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    • Mei, J.1
  • 11
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    • An empirical investigation of the arbitrage theory
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    • Roll, R.1    Ross, S.2
  • 12
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    • The arbitrage theory of capital asset pricing
    • Ross, S. "The Arbitrage Theory of Capital Asset Pricing." Journal of Economic Theory, 13 (1976), pp. 341-360.
    • (1976) Journal of Economic Theory , vol.13 , pp. 341-360
    • Ross, S.1
  • 13
    • 84980092818 scopus 로고
    • Capital asset risks: A theory of market equilibrium under conditions of risk
    • Sharpe, W. "Capital Asset Risks: A Theory of Market Equilibrium under Conditions of Risk." Journal of Finance, 19 (1964), pp. 425-442.
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  • 14
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    • Sequential tests of the arbitrage pricing theory: A comparison of principal components and maximum likelihood factors
    • Shukla, R., and C. Trzcinka. "Sequential Tests of the Arbitrage Pricing Theory: A Comparison of Principal Components and Maximum Likelihood Factors." Journal of Finance, 45 (1990), pp. 1541-1564.
    • (1990) Journal of Finance , vol.45 , pp. 1541-1564
    • Shukla, R.1    Trzcinka, C.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.