This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The Number of Factors in Security Returns

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
 Brown, Stephen J

Additional information is available for the following registered author(s):

Abstract

Both factor analysis of security returns and the analysis of eigenvalues seem to indicate that a market factor explains the major part of security returns. The author finds that such evidence is consistent with an economy where there are, in fact, k "equally important" priced factors; eigenvalue analysis in the context of such an economy will lead an investigator to the false inference that the one important "factor" is the retun on an equally weighted market index. Copyright 1989 by American Finance Association.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://links.jstor.org/sici?sici=0022-1082%28198912%2944%3A5%3C1247%3ATNOFIS%3E2.0.CO%3B2-0&origin=repec
File Format: application/pdf
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 44 (1989)
Issue (Month): 5 (December)
Pages: 1247-62
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:jfinan:v:44:y:1989:i:5:p:1247-62

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Perez, Marcos & Ahn, Seung Chan, 2007. "GMM Estimation of the Number of Latent Factors," MPRA Paper 4862, University Library of Munich, Germany. [Downloadable!]
  2. Gregory Connor & Oliver Linton, 2006. "Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns," STICERD - Econometrics Paper Series /2006/506, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  3. John Geweke & Guofo Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report 189, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  4. Smith, Robert P. & Eppinger, Steven D., 1991. "Identifying controlling features of engineering design iteration," Working papers 3348-91., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  5. M. Ali Khan & Yeneng Sun, 1996. "Hyperfinite Asset Pricing Theory," Cowles Foundation Discussion Papers 1139, Cowles Foundation, Yale University. [Downloadable!]
  6. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," NBER Working Papers 6412, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  7. Alexei Onatski, 2005. "Determining the number of factors from empirical distribution of eigenvalues," Discussion Papers 0405-19, Columbia University, Department of Economics. [Downloadable!]
Statistics
Access and download statistics

Did you know? RePEc also has a blog.

This page was last updated on 2008-11-26.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.