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| Author: | Goyal, A. Perignon, C. Villa, C. |
| Title: | How common are common return factors across the NYSE and Nasdaq? |
| Journal: | Journal of Financial Economics
2008 : DEC, VOL 90:3, p. 252-271 |
| Index terms: | risk factor analysis assets arbitrage pricing theory USA |
| Language: | eng |
| Abstract: | The article provides an empirical analysis of the factor structure of excess returns on stock trades on two US exchanges, Nasdaq and NYSE, using a general procedure that estimates the space spanned by common and group-specific pervasive factors. Only two common pervasive factors for Nasdaq and NYSE stock returns are found. In addition, the results of the analysis show that Nasdaq and NYSE both have one group-specific factor they do not share. These findings indicate that there is no complete similarity between the factor structure of these two exchanges. |
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