TY - JOUR
T1 - The impact of the return interval on common factors in stock returns
T2 - Evidence from a thin security market
AU - Martikainen, Teppo
AU - Perttunen, Jukka
AU - Yli-Olli, Paavo
AU - Gunasekaran, A.
PY - 1994/9
Y1 - 1994/9
N2 - 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.
AB - 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.
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U2 - 10.1016/0378-4266(94)00013-1
DO - 10.1016/0378-4266(94)00013-1
M3 - Article
AN - SCOPUS:0000020868
SN - 0378-4266
VL - 18
SP - 659
EP - 672
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 4
ER -