Concepedia

Factor Risk Models

Factor Risk Models is a quantitative framework in finance that belongs to the class of asset pricing models, specifically designed to decompose and measure portfolio risk by attributing fluctuations in returns to systematic factors such as market, size, value, momentum, and volatility, while distinguishing idiosyncratic risk from common factor exposures.

126

Publications

11.2K

Citations

513

Authors

264

Institutions

Publications per year

2017–2026

40

Parents

Publications

126

Prospective Study of C-Reactive Protein and the Risk of Future Cardiovascular Events Among Apparently Healthy Women

Paul M. Ridker, Julie E. Buring, Jessie Shih et al. · Circulation · 1998 · 1.7K citations · Full text

, , +16

Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing

Bruce D. Grundy, J. Spencer Martin · Review of Financial Studies · 2001 · 1K citations

, , +17

Elevated Uric Acid Increases the Risk for Kidney Disease

Rudolf P. Obermayr, Christian Temml, Georg Gutjahr et al. · Journal of the American Society of Nephrology · 2008 · 654 citations · Full text

, , +11

Association of low serum concentration of bilirubin with increased risk of coronary artery disease

H A Schwertner, W.G. Jackson, Gil D. Tolan · Clinical Chemistry · 1994 · 476 citations

, , +13

On Stable Factor Structures in the Pricing of Risk: Do Time‐Varying Betas Help or Hurt?

Éric Ghysels · The Journal of Finance · 1998 · 441 citations

, , +17

1–5 of 126

Authors

513

  1. AS
    Anureet Saxena

    Axiom (United States), United States

    3 publications · 65 citations

    3

    h-index

  2. RA
    Robert A. Stubbs

    Axiom (United States), United States

    3 publications · 65 citations

    3

    h-index

  3. BD
    Bruce D. Grundy

    The University of Melbourne, Australia

    2 publications · 1.3K citations

    2

    h-index

  4. ÉR
    Éric Renault

    University of North Carolina at Chapel Hill, United States

    2 publications · 26 citations

    2

    h-index

  5. LZ
    Lu Zhang

    National Bureau of Economic Research, United States

    2 publications · 518 citations

    2

    h-index

1–5 of 513

Institutions

264

  1. The University of Melbourne

    Melbourne, Australia

    5 h-index

    5 publications

    1.4K citations

  2. National Bureau of Economic Research

    Cambridge, United States

    5 h-index

    7 publications

    488 citations

  3. Columbia University

    New York, United States

    4 h-index

    5 publications

    414 citations

  4. Case Western Reserve University

    Cleveland, United States

    3 h-index

    13 publications

    371 citations

  5. Yale University

    New Haven, United States

    3 h-index

    10 publications

    378 citations

  6. Tilburg University

    Tilburg, The Netherlands

    3 h-index

    3 publications

    47 citations

  7. Capital Medical University

    Beijing, China

    3 h-index

    18 publications

    502 citations

  8. University of North Carolina at Chapel Hill

    Chapel Hill, United States

    3 h-index

    3 publications

    160 citations

1–8 of 264

Venues

  1. SSRN Electronic Journal

    Repository · 12 publications · 855 citations

    11

    h-index

  2. The Journal of Portfolio Management

    JPM · 7 publications · 170 citations

    7

    h-index

  3. PubMed

    Repository · 5 publications · 261 citations

    5

    h-index

  4. The Journal of Finance

    3 publications · 499 citations

    3

    h-index

  5. Review of Financial Studies

    3 publications · 1.5K citations

    3

    h-index

1–5