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Mathematical finance / Financial risk / Multivariate statistics / Investment / Actuarial science / Factor theory / Beta / Diversification / Investment management / Factor analysis / FamaMacBeth regression / Principal component analysis


A Protocol for Factor Identification by Kuntara Pukthuanthong and Richard Roll Abstract Several hundred factor candidates have been suggested in the literature. We propose a protocol for determining which factor candidat
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Document Date: 2015-12-02 09:40:27


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