Investigation of factor rotation routines in principal component analysis of stock returns
Includes bibliographical references. === This paper investigates rotation routines that will produce uncorrelated rotated principal components for a dataset of stock returns, in an attempt to identify the macroeconomic factors that best explain the variability among risk-adjusted stock returns on th...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2014
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| Online Access: | http://hdl.handle.net/11427/8533 |