Abstract
This article develops a new information criterion for the analysis of the factor structure of financial markets. The new proposal is obtained by resorting to a Monte Carlo experiment, which allows one to evaluate the behaviour of different information criteria by a priori knowing the true number of unobservable factors. The financial markets factor structure is found to be different from those suggested by traditional factor analysis methods, and for the Italian stock market in particular, only two or three factors are signalled.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
