Financial markets and factor structure
AbstractTesting, in the financial markets, the hypothesis of a k latent factor structure by the methods of exploratory factor analysis rises some difficulties. In order to get over these problems a new criterion is suggested, in which all a priori known information are used: the sample size and the number of observations. A Monte Carlo simulation shows that the new criterion performs better than the traditional methods. Finally, an application to the Italian stock market indicates the presence of a multifactor structure underlying the stock returns.
How to Cite
Costa, M. (1995). Financial markets and factor structure. Statistica, 55(3), 303–316. https://doi.org/10.6092/issn.1973-2201/981
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