How Common are Common Return Factors Across NYSE and NASDAQ?

46 Pages Posted: 27 Sep 2007 Last revised: 14 Mar 2013

See all articles by Christophe Pérignon

Christophe Pérignon

HEC Paris - Finance Department

Amit Goyal

University of Lausanne; Swiss Finance Institute

Christophe Villa

Audencia Nantes School of Management

Abstract

We entertain the possibility of pervasive factors that are not common across two (or more) groups of securities. We propose a general procedure to estimate the space spanned by the common pervasive and group-specific pervasive factors. In our empirical analysis, we study the factor structure of excess returns on stocks traded on the NYSE and NASDAQ exchanges using our methodology. We find that there are only two common pervasive factors that govern the returns for both NYSE and NASDAQ. At the same time, both NYSE and NASDAQ have one more group-specific factor (one for each group) that is not the same across the two exchanges. Our results point to the absence of complete similarity between the factors driving the returns on these exchanges. More importantly, we estimate these common pervasive and group-specific pervasive factors.

Keywords: Risk Factors

JEL Classification: C63, G10, G12

Suggested Citation

Pérignon, Christophe and Goyal, Amit and Villa, Christophe, How Common are Common Return Factors Across NYSE and NASDAQ?. Journal of Financial Economics (JFE), Forthcoming, Available at SSRN: https://ssrn.com/abstract=1017548 or http://dx.doi.org/10.2139/ssrn.1017548

Christophe Pérignon (Contact Author)

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France

Amit Goyal

University of Lausanne ( email )

Batiment Extranef 226
Lausanne, Vaud CH-1015
Switzerland
+41 21 692 3676 (Phone)
+41 21 692 3435 (Fax)

HOME PAGE: http://www.hec.unil.ch/agoyal/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Christophe Villa

Audencia Nantes School of Management ( email )

8 route de la Jonelière, BP 31222
Nantes Cedex 3, Cedex 3 44312
France

HOME PAGE: http://www.audencia.com/?id=970

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
495
Abstract Views
3,164
rank
72,438
PlumX Metrics