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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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    References listed on IDEAS

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    1. Shukla, Ravi & Trzcinka, Charles, 1990. "Sequential Tests of the Arbitrage Pricing Theory: A Comparison of Principal Components and Maximum Likelihood Factors," Journal of Finance, American Finance Association, vol. 45(5), pages 1541-1564, December.
    2. 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.
    3. 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..
    4. 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.
    5. Trzcinka, Charles A, 1986. "On the Number of Factors in the Arbitrage Pricing Model," Journal of Finance, American Finance Association, vol. 41(2), pages 347-368, June.
    6. 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.
    7. 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.
    8. 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.
    9. repec:bla:jfinan:v:44:y:1989:i:5:p:1421-34 is not listed on IDEAS
    10. 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.
    11. 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.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. 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.
    17. 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.
    18. 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.
    19. 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.
    20. 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.
    21. 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.
    22. repec:bla:jfinan:v:44:y:1989:i:5:p:1247-62 is not listed on IDEAS
    23. 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.
    24. 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.
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    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.

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