Concepedia

Factor Models

Factor Models is a quantitative methodology in asset pricing that decomposes the returns of financial assets into common systematic risk factors and idiosyncratic components, distinguishing it from other asset valuation approaches by explicitly modeling return co-movements through exposure to latent or observed economic drivers.

5.3K

Publications

588.3K

Citations

6.9K

Authors

2.3K

Institutions

Publications per year

2017–2026

1.2K

Parents

Children

Publications

5.3K

Structural Equations with Latent Variables.

Clifford C. Clogg, Kenneth A. Bollen · Contemporary Sociology A Journal of Reviews · 1991 · 17.6K citations

, , +14

Confirmatory factor analysis for applied research

Choice Reviews Online · 2007 · 15.8K citations

, , +12

The Application of Electronic Computers to Factor Analysis

Henry F. Kaiser · Educational and Psychological Measurement · 1960 · 12.2K citations

, , +9

A Rationale and Test for the Number of Factors in Factor Analysis

John L. Horn · Psychometrika · 1965 · 8.6K citations

, , +12

A five-factor asset pricing model

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

, , +12

1–5 of 5.3K

Authors

6.9K

  1. MM
    Massimiliano Marcellino

    Bocconi University, Italy

    38 publications · 2.5K citations

    26

    h-index

  2. JB
    Jushan Bai

    Columbia University, United States

    27 publications · 6.7K citations

    21

    h-index

  3. JF
    Jianqing Fan

    Princeton University, United States

    25 publications · 3.7K citations

    21

    h-index

  4. KG
    Karl G. Jöreskog

    Educational Testing Service, United States

    26 publications · 7.3K citations

    21

    h-index

  5. FX
    Francis X. Diebold

    University of Pennsylvania, United States

    23 publications · 5.1K citations

    20

    h-index

1–5 of 6.9K

Institutions

2.3K

  1. National Bureau of Economic Research

    Cambridge, United States

    74 h-index

    319 publications

    55.3K citations

  2. University of Chicago

    Chicago, United States

    51 h-index

    123 publications

    44.4K citations

  3. Centre for Economic Policy Research

    London, United Kingdom

    48 h-index

    138 publications

    14.6K citations

  4. University of California, Los Angeles

    Los Angeles, United States

    45 h-index

    113 publications

    28.7K citations

  5. Columbia University

    New York, United States

    43 h-index

    100 publications

    17K citations

  6. Princeton University

    Princeton, United States

    42 h-index

    101 publications

    19.9K citations

  7. New York University

    New York, United States

    41 h-index

    109 publications

    23.5K citations

  8. Duke University

    Durham, United States

    38 h-index

    86 publications

    21.1K citations

1–8 of 2.3K

Venues

  1. The Journal of Finance

    145 publications · 48K citations

    87

    h-index

  2. SSRN Electronic Journal

    Repository · 836 publications · 35.1K citations

    82

    h-index

  3. Psychometrika

    132 publications · 40.6K citations

    61

    h-index

  4. Journal of Econometrics

    113 publications · 19.4K citations

    59

    h-index

  5. Review of Financial Studies

    48 publications · 23.1K citations

    40

    h-index

1–5