How common are common return factors across the NYSE and Nasdaq?

• 成果类型: Article
• 署名作者: Goyal, Amit; Perignon, Christophe; Villa, Christophe
• 署名单位: University of Lausanne; Swiss Finance Institute (SFI); Hautes Etudes Commerciales (HEC) Paris; Audencia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.01.004
• 发表日期: 2008
• 页码: 252-271
• 关键词: Risk factors; factor analysis; asset pricing; arbitrage pricing theory; Common subspace

摘要

We entertain the possibility of pervasive factors that are not common across two (or more) groups of securities. We propose and implement a general procedure to estimate the space spanned by common and group-specific pervasive factors. In our empirical analysis, we study the factor structure of excess returns on stocks traded on the NYSE and Nasdaq using our methodology. We find that there are only two common pervasive factors that govern the returns for both NYSE and Nasdaq. At the same time, the NYSE and Nasdaq each have one more group-specific factor that is not the same across the two exchanges. Our results point to the absence of complete similarity between the factors driving the returns on these exchanges. (C) 2008 Elsevier B.V. All rights reserved.