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How to Explain the Cross-Section of Equity Returns through Common Principal Components
2021
Mathematics
In this paper, we propose a procedure to obtain and test multifactor models based on statistical and financial factors. A major issue in the factor literature is to select the factors included in the model, as well as the construction of the portfolios. We deal with this matter using a dimensionality reduction technique designed to work with several groups of data called Common Principal Components. A block-bootstrap methodology is developed to assess the validity of the model and the
doi:10.3390/math9091011
fatcat:vsfcaf435nairma3jsqh5uq44q