Hagströmer, Björn; Anderson, Richard G.; Binner, Jane M. - 2009
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Richard G. Anderson
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Jane M. Binner
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Birger Nilsson
May 26, 2009
We develop the principal component analysis (PCA … along with
traditional estimation techniques (full sample PCA and market average) in terms of ability to explain
(1) cross … commonality, but does not
have the same ability to explain stock returns as the PCA-based estimates.
Keywords: systematic …