THE IMPACT OF THE RETURN INTERVAL ON COMMON FACTORS IN STOCK RETURNS - EVIDENCE FROM A THIN SECURITY MARKET

被引：5
|
作者：
MARTIKAINEN, T
PERTTUNEN, J
YLIOLLI, P
GUNASEKARAN, A
机构：
[1] School of Business Studies, University of Vaasa, FIN-65101 Vaasa
来源：
JOURNAL OF BANKING & FINANCE | 1994年 / 18卷 / 04期
关键词：
ASSET PRICING; STOCK RETURNS; COMMON FACTORS; RETURN INTERVAL; THIN TRADING;
D O I：
10.1016/0378-4266(94)00013-1
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The purpose of this paper is to analyze the effect of the return interval on common factors estimated in Finnish stock returns. Firstly, common factors are identified by factor analysis using daily, weekly and monthly return intervals. The similarity of these factors is then studied applying transformation analysis. It is discovered that the factors produced by alternative return intervals significantly differ from each other. An exception is the first factor representing the market index of securities.
引用
收藏
页码：659 / 672
页数：14
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