A Test for the Number of Factors in an Approximate Factor Model
针对资产收益的多因子模型，提出一种检验统计量来确定近似因子模型中的因子数量，该检验不要求可分散收益在资产间不相关，并发现纽约证券交易所和美国证券交易所股票收益中存在1到6个普遍因子。
ABSTRACT An important issue in applications of multifactor models of asset returns is the appropriate number of factors. Most extant tests for the number of factors are valid only for strict factor models, in which diversifiable returns are uncorrelated across assets. In this paper we develop a test statistic to determine the number of factors in an approximate factor model of asset returns, which does not require that diversifiable components of returns be uncorrelated across assets. We find evidence for one to six pervasive factors in the cross‐section of New York Stock Exchange and American Stock Exchange stock returns.