Factor Models of Asset Returns

Factor models of security returns decompose the random return on each of a cross-section of assets into pervasive components, affecting almost all assets, and a diversifiable component. We describe four alternative approaches to factor models of asset returns. We also discuss issues related to estimating factor models and testing for the appropriate number of factors

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Year of publication:	[2011]
Authors:	Connor, Gregory
Other Persons:	Korajczyk, Robert A. (contributor)
Publisher:	[2011]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Notes:	In: ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Rama Cont, ed., Chicester: Wiley, 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 27, 2009 erstellt
Classification:	G12 - Asset Pricing ; C33 - Models with Panel Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012756781