References
- Akaike , H. 1987 . Factor analysis and the AIC . Psychometrika , 52 : 317 – 332 .
- Bai , J. and Ng , S. 2000 . Determining the number of factors in approximate factor models , Boston College Working Papers in Economics, 440
- Bray , M. 1994 . The arbitrage pricing theory is not robust: factor structures and factor pricing , London School of Economics Discussion Paper, 179
- Brown , S. 1989 . The number of factors in security returns . The Journal of Finance , 44 : 1247 – 1262 .
- Brown , S. , Goetzmann , W. and Grinblatt , M. 1998 . Positive portfolio factors , NBER Working Paper, 6412
- Chamberlain , G. and Rothschild , M. 1983 . Arbitrage and meanvariance analysis on large asset markets . Econometrica , 51 : 1281 – 1301 .
- Cochrane , J. 1999 . Portfolio advice for a multifactor world , NBER Working Papers, 7170
- Connor , G. and Korajczyk , R. 1993 . A test for the number of factors in an approximate factor model . The Journal of Finance , 48 : 1263 – 1291 .
- Conway , D. and Reinganum , M. 1988 . Stable factors in security returns: identification through cross validation . Journal of Business and Economic Statistics , 6 : 1 – 15 .
- Engle , R. , Ng , V. and Rothschild , M. 1990 . Asset pricing with a FACTOR-ARCH covariance structure: empirical estimates for treasury bills . Journal of Econometrics , 45 : 213 – 237 .
- Hansen , L. and Jagannathan , R. 1997 . Assessing specification errors in stochastic discount factor models . The Journal of Finance , 52 : 557 – 590 .
- Priestley , R. 1996 . The arbitrage pricing theory, macroeconomic and financial factors, and expectations generating processes . Journal of Banking and Finance , 20 : 869 – 890 .
- Ross , S. 1976 . The arbitrage theory of capital asset pricing . Journal of Economic Theory , 13 : 341 – 360 .
- Schwarz , G. 1978 . Estimating the dimension of a model . The Annals of Statistics , 6 : 461 – 464 .
- Trzcinka , C. 1986 . On the number of factors in the arbitrage pricing model . The Journal of Finance , 41 : 347 – 368 .