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Data frequency and the number of factors in stock returns

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  • Huang, Roger D.
  • Jo, Hoje

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  • Huang, Roger D. & Jo, Hoje, 1995. "Data frequency and the number of factors in stock returns," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 987-1003, September.
    • Handle: RePEc:eee:jbfina:v:19:y:1995:i:6:p:987-1003
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    3. Zellner, Arnold & Montmarquette, Claude, 1971. "A Study of Some Aspects of Temporal Aggregation Problems in Econometric Analyses," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 335-342, November.
    4. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    5. Dhrymes, Phoebus J, et al, 1985. "New Tests of the APT and Their Implications," Journal of Finance, American Finance Association, vol. 40(3), pages 659-674, July.
    6. Connor, Gregory & Korajczyk, Robert A, 1993. "A Test for the Number of Factors in an Approximate Factor Model," Journal of Finance, American Finance Association, vol. 48(4), pages 1263-1291, September.
    7. Roll, Richard & Ross, Stephen A, 1984. "A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply," Journal of Finance, American Finance Association, vol. 39(2), pages 347-350, June.
    8. Huang, Roger D & Jo, Hoje, 1992. "Transformed Securities and Alternative Factor Structures," Journal of Finance, American Finance Association, vol. 47(1), pages 397-405, March.
    9. Roll, Richard & Ross, Stephen A, 1980. "An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
    10. Gultekin, Mustafa N & Gultekin, N Bulent, 1987. "Stock Return Anomalies and the Tests of the APT," Journal of Finance, American Finance Association, vol. 42(5), pages 1213-1224, December.
    11. Kryzanowski, Lawrence & To, Minh Chau, 1983. "General Factor Models and the Structure of Security Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(1), pages 31-52, March.
    12. Lehmann, Bruce N. & Modest, David M., 1988. "The empirical foundations of the arbitrage pricing theory," Journal of Financial Economics, Elsevier, vol. 21(2), pages 213-254, September.
    13. Cohen, Kalman J. & Hawawini, Gabriel A. & Maier, Steven F. & Schwartz, Robert A. & Whitcomb, David K., 1983. "Friction in the trading process and the estimation of systematic risk," Journal of Financial Economics, Elsevier, vol. 12(2), pages 263-278, August.
    14. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    15. Shanken, Jay, 1987. "Nonsynchronous Data and the Covariance-Factor Structure of Returns," Journal of Finance, American Finance Association, vol. 42(2), pages 221-231, June.
    16. Brown, Stephen J, 1989. " The Number of Factors in Security Returns," Journal of Finance, American Finance Association, vol. 44(5), pages 1247-1262, December.
    17. Conway, Delores A & Reinganum, Marc R, 1988. "Stable Factors in Security Returns: Identification Using Cross-Validation," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 1-15, January.
    18. Conway, Delores A & Reinganum, Marc R, 1988. "Stable Factors in Security Returns: Identification Using Cross-Validation: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 24-28, January.
    19. Lee, Cheng F. & Wu, Chunchi & Wei, K. C. John, 1990. "The Heterogeneous Investment Horizon and the Capital Asset Pricing Model: Theory and Implications," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(3), pages 361-376, September.
    20. Cho, David Chinhyung & Taylor, William M, 1987. "The Seasonal Stability of the Factor Structure of Stock Returns," Journal of Finance, American Finance Association, vol. 42(5), pages 1195-1211, December.
    21. Korkie, Bob, 1989. " Corrections for Trading Frictions in Multivariate Returns," Journal of Finance, American Finance Association, vol. 44(5), pages 1421-1434, December.
    22. Chamberlain, Gary & Rothschild, Michael, 1983. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," Econometrica, Econometric Society, vol. 51(5), pages 1281-1304, September.
    23. Dhrymes, Phoebus J & Friend, Irwin & Gultekin, N Bulent, 1984. "A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 39(2), pages 323-346, June.
    24. Connor, Gregory & Korajczyk, Robert A., 1988. "Risk and return in an equilibrium APT : Application of a new test methodology," Journal of Financial Economics, Elsevier, vol. 21(2), pages 255-289, September.
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    2. Apopo, Natalay & Phiri, Andrew, 2019. "On the (in)efficiency of cryptocurrencies: Have they taken daily or weekly random walks?," MPRA Paper 94712, University Library of Munich, Germany.
    3. Kumar, V. & Ramaswami, Sridhar N. & Srivastava, Rajendra K., 2000. "A Model to Explain Shareholder Returns: Marketing Implications," Journal of Business Research, Elsevier, vol. 50(2), pages 157-167, November.
    4. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2015. "Does data frequency matter for the impact of forward premium on spot exchange rate?," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 45-53.
    5. Padrón, Yaiza García & Boza, Juan García, 2006. "Which are the Risk Factors in the Pricing of Personal Pension in Spain?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
    6. Onatski, Alexei, 2015. "Asymptotic analysis of the squared estimation error in misspecified factor models," Journal of Econometrics, Elsevier, vol. 186(2), pages 388-406.
    7. Kuo, Chen-Yin, 2016. "Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory," Economic Modelling, Elsevier, vol. 52(PB), pages 772-789.

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