Explorations Into Factors Explaining Money Market Returns
测量并解释了描述货币市场收益的共同因子，发现三因子模型平均解释86%的收益变化，四因子模型平均解释90%，并通过模拟组合解读了这些因子代表的系统性风险。
ABSTRACT In this article, we measure and interpret the common “factors” that describe money market returns. Results are presented for both three‐and four‐factor models. We find that the three‐factor model explains, on average, 86 percent of the total variation in most money market returns while the four‐factor model explains, on average, 90 percent of this variation. Using mimicking portfolios, we provide an interpretation of the systematic risks represented by these factors.