{"id":"https://openalex.org/W2139753118","doi":"https://doi.org/10.2307/2330104","title":"Extra-Market Components of Covariance in Security Returns","display_name":"Extra-Market Components of Covariance in Security Returns","publication_year":1974,"publication_date":"1974-03-01","ids":{"openalex":"https://openalex.org/W2139753118","doi":"https://doi.org/10.2307/2330104","mag":"2139753118"},"language":"en","primary_location":{"id":"doi:10.2307/2330104","doi":"https://doi.org/10.2307/2330104","is_oa":false,"landing_page_url":"https://doi.org/10.2307/2330104","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5016456156","display_name":"Barr Rosenberg","orcid":"https://orcid.org/0009-0001-3584-3134","observed_orcids":["https://orcid.org/0009-0001-3584-3134"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Barr Rosenberg","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5016456156"],"corresponding_institution_ids":[],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":3.2148,"has_fulltext":false,"cited_by_count":295,"citation_normalized_percentile":{"value":0.91726027,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":98,"max":100},"biblio":{"volume":"9","issue":"2","first_page":"263","last_page":"263"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9872999787330627,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9872999787330627,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.007400000002235174,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.001500000013038516,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/security-returns","display_name":"security returns","score":0.7110000252723694},{"id":"https://openalex.org/keywords/multifactor-models","display_name":"multi-factor models","score":0.8190000057220459},{"id":"https://openalex.org/keywords/beta","display_name":"beta","score":0.39399999380111694},{"id":"https://openalex.org/keywords/factor-loadings","display_name":"factor loadings","score":0.8109999895095825},{"id":"https://openalex.org/keywords/firm-characteristics","display_name":"firm characteristics","score":0.8809999823570251},{"id":"https://openalex.org/keywords/balance-sheet-data","display_name":"balance sheet data","score":0.9950000047683716},{"id":"https://openalex.org/keywords/industry-membership","display_name":"industry membership","score":0.9879999756813049},{"id":"https://openalex.org/keywords/return-predictability","display_name":"return predictability","score":0.5839999914169312}],"concepts":[{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.5516775250434875},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.4359402060508728},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41982704401016235},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3662131428718567},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.353149950504303},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.23870715498924255},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.15611505508422852}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.2307/2330104","doi":"https://doi.org/10.2307/2330104","is_oa":false,"landing_page_url":"https://doi.org/10.2307/2330104","pdf_url":null,"source":{"id":"https://openalex.org/S193228710","display_name":"Journal of Financial and Quantitative Analysis","issn_l":"0022-1090","issn":["0022-1090","1756-6916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1","ft50","jufo-3","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Financial and Quantitative Analysis","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:cup:jfinqa:v:9:y:1974:i:02:p:263-274_01","doi":null,"is_oa":false,"landing_page_url":"https://www.cambridge.org/core/product/identifier/S0022109000017026/type/journal_article","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":9,"referenced_works":["https://openalex.org/W70745168","https://openalex.org/W1543828735","https://openalex.org/W1973115274","https://openalex.org/W1990986169","https://openalex.org/W1993709375","https://openalex.org/W2010648296","https://openalex.org/W2083148578","https://openalex.org/W2089819736","https://openalex.org/W3120515983"],"related_works":["https://openalex.org/W7172536982","https://openalex.org/W612828173","https://openalex.org/W1985190417","https://openalex.org/W2892977693","https://openalex.org/W3017334892","https://openalex.org/W2599028401","https://openalex.org/W7100889770","https://openalex.org/W3123312084","https://openalex.org/W2028632243","https://openalex.org/W3123640793"],"abstract_inverted_index":{"This":[0,40],"study":[1],"is":[2,120],"concerned":[3],"with":[4,11,25],"the":[5,21,30,43,47,53,78,85,93,109,116],"multiple-factor":[6,34],"model":[7,18,35],"of":[8,28,32,42,66,80,92,106,123],"security":[9,69,82,118],"returns,":[10],"its":[12],"implications":[13],"for":[14],"a":[15,33,121],"single-factor,":[16],"market-index":[17],"applied":[19],"to":[20],"same":[22,125],"securities,":[23],"and":[24,36,97,103],"statistical":[26],"methods":[27],"estimating":[29],"parameters":[31],"thereby":[37],"operationalizing":[38],"it.":[39],"part":[41],"paper":[44],"sets":[45],"out":[46],"approach.":[48],"The":[49,56,111],"sequel":[50],"will":[51],"present":[52],"empirical":[54],"results.":[55],"results":[57,112],"show":[58,114],"that":[59,77,115],"there":[60],"are":[61,75,87],"highly":[62],"significant":[63],"extra-market":[64],"components":[65,74],"covariance":[67],"among":[68],"returns;":[70],"moreover,":[71],"these":[72,124],"risk":[73],"such":[76],"loadings":[79],"individual":[81],"returns":[83,107],"on":[84,108],"factors":[86],"determined":[88],"by":[89],"observable":[90],"characteristics":[91],"firm:":[94],"income":[95],"statement":[96],"balance":[98],"sheet":[99],"data,":[100],"industry":[101],"membership,":[102],"historical":[104],"behavior":[105],"security.":[110],"also":[113],"conventional":[117],"beta":[119],"function":[122],"characteristics.":[126]},"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":10},{"year":2024,"cited_by_count":9},{"year":2023,"cited_by_count":13},{"year":2022,"cited_by_count":15},{"year":2021,"cited_by_count":12},{"year":2020,"cited_by_count":15},{"year":2019,"cited_by_count":7},{"year":2018,"cited_by_count":13},{"year":2017,"cited_by_count":18},{"year":2016,"cited_by_count":14},{"year":2015,"cited_by_count":11},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":11},{"year":2012,"cited_by_count":7}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}