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An element of return that influences many assets. According to multiple factor risk models, the factors determine correlations between asset returns. Common factors include size (often measured by market capitalization), valuation measures such as price to book value ratio and dividend yield, industries and risk indices.

Copyright © 2005, Campbell R. Harvey. All Worldwide Rights Reserved. Do not reproduce without explicit permission.

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Common factor

risk models

multiple factor risk

asset returns

book value ratio

dividend yield