How common are common return factors across the NYSE and Nasdaq?

Journal of Financial Economics

Volumn 90, Issue 3, 2008, Pages 252-271

  Goyal, Amit ^a   Pérignon, Christophe ^b   Villa, Christophe ^c  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

^b HEC PARIS   (France)

^c CREST   (France)

Author keywords

Arbitrage pricing theory; Asset pricing; Common subspace; Factor analysis; Risk factors

Indexed keywords

EID: 56349114902     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2008.01.004     Document Type: Article

References (34)

1. Bai J. Inferential theory for factor models of large dimensions. Econometrica 71 (2003) 135-171
2. Bai J., and Ng S. Determining the number of factors in approximate factor models. Econometrica 70 (2002) 191-221
3. Bai J., and Ng S. Evaluating latent and observed factors in macroeconomics and finance. Journal of Econometrics 131 (2006) 507-537
4. Baruch, S., Saar, G., 2006. Asset returns and the listing choice of firms. Review of Financial Studies, forthcoming.
5. Bekaert, G., Hodrick, R.J., Zhang, X., 2005. International stock return comovements. Working Paper, Columbia University.
6. Boivin J., and Ng S. Are more data always better for factor analysis?. Journal of Econometrics 132 (2006) 169-194
7. Brown S. The number of factors in security returns. Journal of Finance 44 (1989) 1247-1262
8. Brown S.J., and Weinstein M.I. A new approach to asset pricing models: the bilinear paradigm. Journal of Finance 38 (1983) 711-743
9. Campbell J., Lettau M., Malkiel B.G., and Xu Y. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance 56 (2001) 1-46
10. Chamberlain G., and Rothschild M. Arbitrage and mean variance analysis on large asset markets. Econometrica 51 (1983) 1281-1304
11. Cho D.C., Eun C.S., and Senbet L.W. International arbitrage pricing theory: an empirical investigation. Journal of Finance 41 (1986) 313-329
12. Connor G. A unified beta pricing theory. Journal of Economic Theory 34 (1984) 12-31
13. Connor G., and Korajczyk R.A. Performance measurement with the arbitrage pricing theory: a new framework for analysis. Journal of Financial Economics 15 (1986) 373-394
14. Connor, G., Korajczyk, R.A., 1987. Estimating pervasive economic factors with missing observations. Working Paper, Northwestern University.
15. Connor G., and Korajczyk R.A. Risk and return in an equilibrium APT: application of a new test methodology. Journal of Financial Economics 21 (1988) 255-289
16. Connor G., and Korajczyk R.A. A test for the number of factors in an approximate factor model. Journal of Finance 48 (1993) 1263-1291
17. Connor G., and Korajczyk R.A. The arbitrage pricing theory and multifactor models of asset returns. In: Jarrow R., et al. (Ed). Handbooks in Operations Research and Management Science vol. 9 (1995), North Holland, Amsterdam 87-144
18. Dauxois J., and Pousse A. Une extension de l'analyse canonique: quelques applications. Annales de l'Institut Henri Poincaré 11 (1975) 355-379
19. Fama E., and French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1993) 3-56
20. Fama E., and French K. New lists: fundamentals and survival rates. Journal of Financial Economics 73 (2004) 229-269
21. Flury B. Common principal components in k groups. Journal of the American Statistical Association 79 (1984) 892-898
22. Flury B. Two generalizations of the common principal component model. Biometrika 74 (1987) 59-69
23. Jones C.S. Extracting factors from heteroskedastic asset returns. Journal of Financial Economics 62 (2001) 293-325
24. Kandel S., and Stambaugh R.F. A mean-variance framework for tests of asset pricing models. Review of Financial Studies 2 (1989) 125-156
25. Korajczyk, R.A., Sadka, R., 2007. Pricing the commonality across alternative measures of liquidity. Journal of Financial Economics, forthcoming.
26. Krzanowski W.J. Between-groups comparison of principal components. Journal of the American Statistical Association 74 (1979) 703-707 (correction 76, 1022)
27. Malkiel B.G., and Xu Y. Investigating the behavior of idiosyncratic volatility. Journal of Business 76 (2003) 613-644
28. Naranjo A., and Protopapadakis A. Financial market integration tests: an investigation using US equity markets. Journal of International Financial Markets, Institutions, and Money 7 (1997) 93-135
29. Pérignon C., and Villa C. Sources of time variation in the covariance matrix of interest rates. Journal of Business 79 (2006) 1535-1549
30. Ross S.A. The arbitrage theory of capital asset pricing. Journal of Economic Theory 13 (1976) 341-360
31. Schott J.R. Partial common principal component subspaces. Biometrika 86 (1999) 899-908
32. Schwert G.W. Stock volatility in the new millennium: how wacky is Nasdaq? Journal of Monetary Economics 49 (2002) 1-24
33. Shanken J. Nonsynchronous data and the covariance-factor structure of returns. Journal of Finance 42 (1987) 221-231
34. Trzcinka C. On the number of factors in the arbitrage pricing model. Journal of Finance 41 (1986) 347-368