The Number of Factors in Security Returns
发现，即使经济中存在多个同等重要的定价因子，特征值分析也会错误地暗示只有一个市场因子主导证券收益，提醒研究者注意这种统计假象。
ABSTRACT Both factor analysis of security returns and the analysis of eigenvalues seem to indicate that a market factor explains the major part of security returns. We find that such evidence is consistent with an economy where there are in fact k “equally important” priced factors; eigenvalue analysis in the context of such an economy will lead an investigator to the false inference that the one important “factor” is the return on an equally weighted market index.