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How to Explain the Cross-Section of Equity Returns through Common Principal Components
Cueto Muñoz, José Manuel; Grané Chávez, Aurea; Cascos Fernández, Ignacio (2021-04-29)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 ... -
Models for Expected Returns with Statistical Factors
Cueto Muñoz, José Manuel; Cascos Fernández, Ignacio; Grané Chávez, Aurea (2020-12-08)In this paper, we propose multifactor models for the pan-European Equity Market using a block-bootstrap method and compare the results with those of traditional inferential techniques. The new factors are built from ...