How Common are Common Return Factors Across Nyse and Nasdaq?

Details

Serval ID
serval:BIB_C7E3CEAEA750
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
How Common are Common Return Factors Across Nyse and Nasdaq?
Journal
Journal of Financial Economics
Author(s)
Goyal  A., Pérignon  C., Villa  C.
ISSN
0304-405X
Publication state
Published
Issued date
12/2008
Peer-reviewed
Oui
Volume
90
Number
3
Pages
252-271
Language
english
Abstract
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.
Keywords
Risk factors, Factor analysis, Asset pricing, Arbitrage pricing theory, Common subspace
Web of science
Create date
07/07/2009 13:25
Last modification date
20/08/2019 15:43
Usage data