Journal of Financial and Quantitative Analysis Vol. 11 No. 4 1976
Industry Effects and Multivariate Stock Price Behavior
Abstract
Models of return generation for securities are potentially important for a number of reasons, including their possible utility in normative portfolio construction. Multi-index models of the process are frequently suggested as an alternative to the familiar single-index models, but, while the multi-index models are intuitively appealing, their empirical superiority remains largely undemonstrated. This paper examines the extent to which three multi-index models succeed in eliminating dependence in the return residuals for a portfolio of common stocks. The relevance of this research lies in the promise that, while obviously requiring additional inputs to determine the efficient set of portfolios, multi-index models may succeed in identifying a more accurate set of efficient portfolios.
- DOI
- 10.2307/2330216
- Volume
- 11
- Issue
- 4
- Pages
- 617
- Sources
- crossref openalex