Cremers, K. J. Martijn; Mei, Jianping - In: Review of Financial Studies 20 (2007) 6, pp. 1749-1782
This article applies the methodology of Bai and Ng (2002, 2004) for decomposing panel data into systematic and idiosyncratic components to both stock returns and turnover panels. This approach works well for both returns and turnover, despite the presence of severe heteroscedasticity and...