T. Martikainen et al., THE IMPACT OF THE RETURN INTERVAL ON COMMON FACTORS IN STOCK RETURNS - EVIDENCE FROM A THIN SECURITY MARKET, Journal of banking & finance, 18(4), 1994, pp. 659-672
The purpose of this paper is to analyze the effect of the return inter
val on common factors estimated in Finnish stock returns. Firstly, com
mon factors are identified by factor analysis using daily, weekly and
monthly return intervals. The similarity of these factors is then stud
ied applying transformation analysis. It is discovered that the factor
s produced by alternative return intervals significantly differ from e
ach other. An exception is the first factor representing the market in
dex of securities.