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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 thedoi:10.3390/math9091011 fatcat:vsfcaf435nairma3jsqh5uq44q