A Non-Normal Principal Components Model for Security Returns

We introduce a principal components model for securities' returns. The components are non-normal, exhibiting significant skewness and kurtosis. The model can explain a large proportion of the variance of the securities' returns with only one or two components. Third and higher-order components individually contribute so little that they can be considered to be noise terms

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Year of publication:	2019
Authors:	Gerber, Sander
Other Persons:	Javid, Babak (contributor) ; Markowitz, Harry (contributor) ; Sargen, Paul (contributor) ; Starer, David (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Kapitaleinkommen \| Capital income \| Theorie \| Theory \| CAPM

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Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 21, 2019 erstellt
Other identifiers:	10.2139/ssrn.3352062 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012890717