Is there a missing factor? A canonical correlation approach to factor models
Author:
Affiliation:
1. Arizona State University; Tempe Arizona
2. Sogang University; Seoul Korea
3. Wharton Finance Department at the University of Pennsylvania; Philadelphia Pennsylvania
4. Wilfrid Laurier University; Waterloo Canada
Publisher
Wiley
Subject
Economics and Econometrics,Finance
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1016/j.rfe.2017.11.002/fullpdf
Reference34 articles.
1. Does industry-wide distress affect defaulted firms? evidence from creditor recoveries;Acharya;Journal of Financial Economics,2007
2. GMM estimation of the number of latent factors: With application to international stock markets;Ahn;Journal of Empirical Finance,2010
3. The link between default and recovery rates: Theory, empirical evidence, and implications;Altman;Journal of Business,2005
4. Determining the number of factors in approximate factor models;Bai;Econometrica,2002
5. Evaluating latent and observed factors in macroeconomics and finance;Bai;Journal of Econometrics,2006
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