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150324s1988 xx |||||o 00| ||eng c |
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|a 10.2307/1391409
|2 doi
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|a (DE-627)JST045339333
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|a (JST)1391409
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|a DE-627
|b ger
|c DE-627
|e rakwb
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|a eng
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| 100 |
1 |
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|a Conway, Delores A.
|e verfasserin
|4 aut
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|a Stable Factors in Security Returns: Identification Using Cross-Validation
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|c 1988
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|a Text
|b txt
|2 rdacontent
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|a Computermedien
|b c
|2 rdamedia
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|a Online-Ressource
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|a Recent papers in financial research focus on identifying a stable factor structure for security returns. The likelihood ratio test typically is used to determine the number of factors from exploratory factor analysis models. In this article, we consider the use of cross-validation to identify a stable factor structure in security returns. When applied to actual stock-return data, cross-validation identifies a smaller number of stable factors than the likelihood ratio test. In groups of 30-60 randomly selected securities, cross-validation suggests one dominant factor, whereas the likelihood ratio test identifies from four to six factors. Furthermore, when groups are designed to highlight industry or size effects, the discovery of more than one dominant factor is problematic. Even if there are multiple economic factors generating stock returns, they may be difficult to disentangle if the underlying factors tend to be correlated.
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|a Copyright 1988 American Statistical Association
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| 650 |
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4 |
|a Arbitrage pricing theory
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| 650 |
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4 |
|a Factor analysis
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| 650 |
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4 |
|a Statistical methods in finance
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| 650 |
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4 |
|a Likelihood ratio test
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| 650 |
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4 |
|a Covariance structures
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| 650 |
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4 |
|a Mathematics
|x Applied mathematics
|x Statistics
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| 650 |
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4 |
|a Applied sciences
|x Research methods
|x Modeling
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| 650 |
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4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical results
|x Statistical properties
|x Statistical discrepancies
|x Sampling errors
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| 650 |
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4 |
|a Applied sciences
|x Research methods
|x Modeling
|x Simulations
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| 650 |
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4 |
|a Mathematics
|x Pure mathematics
|x Algebra
|x Arithmetic mean
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| 650 |
|
4 |
|a Mathematics
|x Pure mathematics
|x Linear algebra
|x Matrix theory
|x Matrices
|x Covariance matrices
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| 650 |
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4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Error rates
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| 650 |
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4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial instruments
|x Financial securities
|x Securities management
|x Securities returns
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical results
|x Statistical properties
|x Statistical discrepancies
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| 650 |
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4 |
|a Mathematics
|x Mathematical objects
|x Mathematical series
|x Series convergence
|x Convergence tests
|x Ratio test
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| 655 |
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4 |
|a research-article
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| 700 |
1 |
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|a Reinganum, Marc R.
|e verfasserin
|4 aut
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| 773 |
0 |
8 |
|i Enthalten in
|t Journal of Business & Economic Statistics
|d American Statistical Association, 1983
|g 6(1988), 1, Seite 1-15
|w (DE-627)327084073
|w (DE-600)2043744-4
|x 07350015
|7 nnns
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| 773 |
1 |
8 |
|g volume:6
|g year:1988
|g number:1
|g pages:1-15
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| 856 |
4 |
0 |
|u https://www.jstor.org/stable/1391409
|3 Volltext
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4 |
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|u https://doi.org/10.2307/1391409
|3 Volltext
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|a AR
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|d 6
|j 1988
|e 1
|h 1-15
|