Concepedia

Factor Model Specification

Factor Model Specification is a methodological framework in finance that defines the selection, structure, and functional form of variables (factors) used to explain asset returns, distinguished by its explicit formulation of factor exposure, risk premia, and error structure within a multi-factor asset pricing model.

2.3K

Publications

206.8K

Citations

5.8K

Authors

2K

Institutions

Publications per year

2017–2026

503

Parents

Publications

2.3K

A five-factor asset pricing model

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 2014 · 7.8K citations

, , +12

Factor Analysis and AIC

Hirotugu Akaike · Psychometrika · 1987 · 5.2K citations

, , +7

Collaborative Filtering for Implicit Feedback Datasets

Yifan Hu, Yehuda Koren, Chris Volinsky · 2008 · 3.2K citations

, , +16

Forecasting Using Principal Components From a Large Number of Predictors

James H. Stock, Mark W. Watson · Journal of the American Statistical Association · 2002 · 3.1K citations

, , +12

Editor's Choice Digesting Anomalies: An Investment Approach

Kewei Hou, Xue Chen, Lu Zhang · RePEc: Research Papers in Economics · 2.6K citations

, , +17

1–5 of 2.3K

Authors

5.8K

  1. MF
    Mario Forni

    University of Modena and Reggio Emilia, Italy

    15 publications · 3.8K citations

    15

    h-index

  2. PT
    Paul T. Costa

    National Institute on Aging, United States

    10 publications · 3.7K citations

    10

    h-index

  3. CS
    Craig S. Neumann

    University of North Texas, United States

    10 publications · 2K citations

    10

    h-index

  4. MM
    Massimiliano Marcellino

    Bocconi University, Italy

    12 publications · 552 citations

    10

    h-index

  5. LR
    Lucrezia Reichlin

    London Business School, United Kingdom

    9 publications · 3.1K citations

    9

    h-index

1–5 of 5.8K

Institutions

2K

  1. National Bureau of Economic Research

    Cambridge, United States

    33 h-index

    78 publications

    16.2K citations

  2. Centre for Economic Policy Research

    London, United Kingdom

    28 h-index

    55 publications

    3.4K citations

  3. University of Toronto

    Toronto, Canada

    24 h-index

    54 publications

    3.1K citations

  4. Columbia University

    New York, United States

    22 h-index

    33 publications

    2.7K citations

  5. University of Missouri

    Columbia, United States

    22 h-index

    44 publications

    3.2K citations

  6. European Central Bank

    Frankfurt am Main, Germany

    21 h-index

    35 publications

    3.2K citations

  7. University of Chicago

    Chicago, United States

    21 h-index

    25 publications

    13.2K citations

  8. Pennsylvania State University

    State College, United States

    20 h-index

    37 publications

    3.8K citations

1–8 of 2K

Venues

  1. SSRN Electronic Journal

    Repository · 214 publications · 7.7K citations

    46

    h-index

  2. Psychological Assessment

    72 publications · 9.3K citations

    42

    h-index

  3. Personality and Individual Differences

    54 publications · 6.1K citations

    36

    h-index

  4. The Journal of Finance

    27 publications · 6.2K citations

    25

    h-index

  5. Educational and Psychological Measurement

    36 publications · 2.8K citations

    24

    h-index

1–5