Characteristic-Based Factor Models is a statistical framework in finance that identifies and exploits systematic risk factors by modeling asset returns as a function of observable firm characteristics, such as size, value, and momentum, to explain cross-sectional variation in expected returns.
62
Publications
5.2K
Citations
119
Authors
116
Institutions
Publications per year
2017–2026
26
Parents
Publications
62
Risk factors in stock returns of Canadian oil and gas companies
Perry Sadorsky · Energy Economics · 2001 · 652 citations
Management, Finance, Risk Management +16
1–5 of 62
Authors
119
- GCGregory Connor
London School of Economics and Political Science, United Kingdom
4 publications · 321 citations
4
h-index
- YS
4
h-index
- ST
3
h-index
- TR
3
h-index
- BK
3
h-index
1–5 of 119
Institutions
116
National Bureau of Economic Research
Cambridge, United States
10 h-index
16 publications
548 citations
Yale University
New Haven, United States
5 h-index
9 publications
1.3K citations
London School of Economics and Political Science
London, United Kingdom
5 h-index
6 publications
274 citations
Federal Reserve Board of Governors
Washington D.C., United States
4 h-index
7 publications
120 citations
Centre for Economic Policy Research
London, United Kingdom
4 h-index
5 publications
151 citations
Kellogg's (Canada)
Mississauga, Canada
3 h-index
3 publications
519 citations
Capital University
Bexley, United States
3 h-index
3 publications
191 citations
University of Chicago
Chicago, United States
3 h-index
5 publications
241 citations
1–8 of 116
Venues
- SSRN Electronic Journal
Repository · 19 publications · 497 citations
14
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- The Journal of Finance
6 publications · 572 citations
6
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- Review of Financial Studies
4 publications · 382 citations
4
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- The Journal of Portfolio Management
JPM · 3 publications · 216 citations
3
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- Journal of Financial Economics
3 publications · 1.1K citations
3
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1–5