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Research Details
Factor Models of Asset Returns
Abstract
Factor models of security returns decompose the random return on each of a cross-section of assets into pervasive components, affecting almost all assets, and a diversifiable component. We describe four alternative approaches to factor models of asset returns. We also discuss issues related to estimating factor models and testing for the appropriate number of factors.
Type
Book Chapter
Author(s)
Gregory Connor, Robert Korajczyk
Date Published
2010
Citations
Connor, Gregory, and Robert Korajczyk. 2010. Factor Models of Asset Returns.
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