Stable Factors in Security Returns: Identification Using Cross-Validation
Data up to Jan 2025
Total Citations Per Year
Abstract
References (25)
An Introduction to Multivariate Statistical Analysis
1986 • 9,529 citations
Cross-Validatory Choice and Assessment of Statistical Predictions
1974 • 8,849 citations
The arbitrage theory of capital asset pricing
1976 • 7,056 citations
Economic Forces and the Stock Market
1986 • 5,321 citations
An Introduction to Multivariate Statistical Analysis.
1985 • 3,247 citations
TESTS OF SIGNIFICANCE IN FACTOR ANALYSIS
1950 • 1,541 citations
Factor Analysis as a Statistical Method.
1972 • 1,480 citations
An Empirical Investigation of the Arbitrage Pricing Theory
1980 • 1,152 citations
Structural analysis of covariance and correlation matrices
1978 • 971 citations
Market and Industry Factors in Stock Price Behavior
1966 • 866 citations
Funds, Factors, and Diversification in Arbitrage Pricing Models
1983 • 499 citations
Some Empirical Tests of the Theory of Arbitrage Pricing
1983 • 369 citations
Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-tError Terms
1976 • 304 citations
A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory
1984 • 290 citations
A simple approach to arbitrage pricing theory
1982 • 281 citations
The Arbitrage Pricing Theory: Is it Testable?
1982 • 256 citations
Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory
1988 • 198 citations
Factor pricing in a finite economy
1983 • 187 citations
The Arbitrage Pricing Theory: Some Empirical Results
1981 • 167 citations
An explicit bound on individual assets' deviations from APT pricing in a finite economy
1983 • 158 citations
A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm
1983 • 155 citations
Factor Analysis as a Statistical Method.
1964 • 101 citations
Arbitrage pricing with information
1983 • 73 citations
Multivariate Analysis.
1974 • 46 citations
Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory
1988 • 46 citations