In this paper, we propose a novel consistent estimation method for the approximate factor model of Chamberlain and Rothschild (1983), with large cross-sectional and timeseries dimensions (N and T, respectively). Their model assumes that the r (fi N) largest eigenvalues of data covariance matrix...

In this paper, we propose a novel consistent estimation method for the approximate factor model of Chamberlain and Rothschild (1983), with large cross-sectional and timeseries dimensions (N and T, respectively). Their model assumes that the r (fi N) largest eigenvalues of data covariance matrix...

In this paper we use the factor model and propose a parametric approach to investigate the process of cyclical convergence in the Euro Area (EA) over the period 1989-2011. Our results show that despite the fact that EA countries share a common business cycle, further convergence after the run-up...

Since the discovery and the development of the financial equilibrium asset pricing models, they were constantly and repeatedly tested mainly for the big markets and scarcely for the smaller or the emerging ones. Romania belongs to the last category, hence empirical testing of these models for...

In this study we extend the work of Vijh (1994), Barberis, Shleifer, and Wurgler (2005), Denis, McConnell, Ovtchinnikov and Yu (2003) and Geppert, Ivanov and Karels (2011) by examining the effects of the addition to or deletion from the S&P 500 index on the firm's Fama - French four factor model...