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Stable Factors in Security Returns: Identification Using Cross-Validation: Reply

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  • Conway, Delores A
  • Reinganum, Marc R

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  • Conway, Delores A & Reinganum, Marc R, 1988. "Stable Factors in Security Returns: Identification Using Cross-Validation: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 24-28, January.
    • Handle: RePEc:bes:jnlbes:v:6:y:1988:i:1:p:24-28
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    Cited by:

    1. James Laird-Smith & Kevin Meyer & Kanshukan Rajaratnam, 2016. "A study of total beta specification through symmetric regression: the case of the Johannesburg Stock Exchange," Environment Systems and Decisions, Springer, vol. 36(2), pages 114-125, June.
    2. Martikainen, Teppo & Perttunen, Jukka & Yli-Olli, Paavo & Gunasekaran, A., 1996. "On the impact of infrequent trading on the APT systematic risk components -- Evidence from a thin security market," European Journal of Operational Research, Elsevier, vol. 88(1), pages 23-27, January.
    3. Michele Costa, 2003. "The factor structure of financial markets: a simulation study of the Italian case," Applied Economics Letters, Taylor & Francis Journals, vol. 10(2), pages 83-86.
    4. Massimo Massa & Andrei Simonov, 2009. "Experimentation in Financial Markets," Management Science, INFORMS, vol. 55(8), pages 1377-1390, August.
    5. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    6. Huang, Roger D. & Jo, Hoje, 1995. "Data frequency and the number of factors in stock returns," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 987-1003, September.
    7. Cesari, Riccardo & Panetta, Fabio, 2002. "The performance of Italian equity funds," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 99-126, January.

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