Anderson, Ronald; Reinard, Davy; Scaillet, Olivier - Institut de Recherche Économique et Sociale (IRES), … - 1997
A factor analysis of returns of shares traded on the Brussels Stock Exchange reveals that the first dominant factor is highly correlated with the popular Bel-20 index and that a distinctive alternative trend is represented by the market's second factor. We propose a new stock index consisting of...