The Seasonal Stability of the Factor Structure of Stock Returns
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1987.tb04361.x/fullpdf
Reference32 articles.
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2. A General Distribution Theory for a Class of Likelihood Criteria;Box;Biometrika,1949
3. A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm;Brown;Journal of Finance,1983
4. Some Empirical Tests of the Theory of Arbitrage Pricing;Chen;Journal of Finance,1983
5. On Testing the Arbitrage Pricing Theory: Inter-Battery Factor Analysis;Cho;Journal of Finance,1984
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3. Seasonality, Stock Returns and the Macroeconomy;The Economic Journal;1997-11-01
4. The Number of Arbitrage Pricing Theory Factors: An Assessment of the Power of Multivariate Tests Used;Contributions to Management Science;1996
5. Data frequency and the number of factors in stock returns;Journal of Banking & Finance;1995-09
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