How common are common return factors across the NYSE and Nasdaq?☆
العنوان: | How common are common return factors across the NYSE and Nasdaq?☆ |
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المؤلفون: | Christophe Pérignon, Christophe Villa, Amit Goyal |
المساهمون: | Audencia Recherche, Audencia Business School, Swiss Finance Institute [Geneva], Swiss Finance Institute, Groupement de Recherche et d'Etudes en Gestion à HEC (GREGH), Ecole des Hautes Etudes Commerciales (HEC Paris)-Centre National de la Recherche Scientifique (CNRS) |
المصدر: | Journal of Financial Economics Journal of Financial Economics, Elsevier, 2008, 90 (3), pp.252-271. ⟨10.1016/j.jfineco.2008.01.004⟩ |
بيانات النشر: | Elsevier BV, 2008. |
سنة النشر: | 2008 |
مصطلحات موضوعية: | Economics and Econometrics, Strategy and Management, Asset pricing, Common subspace, Factor structure, JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C63 - Computational Techniques • Simulation Modeling, Arbitrage pricing theory, Risk factors, Accounting, Econometrics, [SHS.GESTION]Humanities and Social Sciences/Business administration, Capital asset pricing model, JEL: G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G29 - Other, Business, Factor analysis, Excess return, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates, Finance |
الوصف: | International audience; We entertain the possibility of pervasive factors that are not common across two (or more) groups of securities. We propose and implement a general procedure to estimate the space spanned by common and group-specific pervasive factors. In our empirical analysis, we study the factor structure of excess returns on stocks traded on the NYSE and Nasdaq using our methodology. We find that there are only two common pervasive factors that govern the returns for both NYSE and Nasdaq. At the same time, the NYSE and Nasdaq each have one more group-specific factor that is not the same across the two exchanges. Our results point to the absence of complete similarity between the factors driving the returns on these exchanges. |
تدمد: | 0304-405X |
URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c60aae34aff06e3b9d55f027eaa42e64 https://doi.org/10.1016/j.jfineco.2008.01.004 |
حقوق: | CLOSED |
رقم الأكسشن: | edsair.doi.dedup.....c60aae34aff06e3b9d55f027eaa42e64 |
قاعدة البيانات: | OpenAIRE |
تدمد: | 0304405X |
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